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Showing 1 to 2 of 2 for “"Fractional Stochastic Volatility"”.
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Fractional stochastic volatility models: approximation, calibration and hedging
The area of modeling stochastic volatility using continuous time models has a long history and is always an interesting and vibrant area in financial mathematics, where the dynamic of the asset is a diffusion driven by Brownian motion and the dynamic of the volatility is associated with a diffusion …
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Calibrating the Hurst Parameter for Rough Volatility Models with Application in the South African Market
… that accurate and efficient calibration of any fractional stochastic volatility model is important for trading and risk management purposes. Under the rough Heston model proposed by El Euch et al. (2019), the Hurst parameter governs the roughness of the volatility process. This dissertation …