𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Algebraic solution of the Stein–Stein model for stochastic volatility

✍ Scribed by C. Sophocleous; J.G. O’Hara; P.G.L. Leach

Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
220 KB
Volume
16
Category
Article
ISSN
1007-5704

No coin nor oath required. For personal study only.

✦ Synopsis

We provide an algebraic approach to the solution of the Stein-Stein model for stochastic volatility which arises in the determination of the Radon-Nikodym density of the minimal entropy of the martingale measure. We extend our investigation to the case in which the parameters of the model are time-dependent. Our algorithmic approach obviates the need for Ansätze for the structure of the solution.

📜 SIMILAR VOLUMES

Analysis of the Gibbs sampler for a mode
Analysis of the Gibbs sampler for a model related to James-Stein estimators
✍ Jeffrey S. Rosenthal 📂 Article 📅 1996 🏛 Springer US 🌐 English ⚖ 604 KB

We analyse a hierarchical Bayes model which is related to the usual empirical Bayes formulation of James-Stein estimators. We consider running a Gibbs sampler on this model. Using previous results about convergence rates of Markov chains, we provide rigorous, numerical, reasonable bounds on the runn

Algebraic solution of the vibron model f
Algebraic solution of the vibron model for diatomic molecules
✍ S. Kuyucak; M.K. Roberts 📂 Article 📅 1995 🏛 Elsevier Science 🌐 English ⚖ 359 KB

Angular momentum projected mean field theory is used to derive analytic expressions for various matrix elements in the vibron model for diatomic molecules. The results are applied in a search for a realistic description of rotation-vibration spectra in the vibron model.