Assessment of Multivariate Financial Risks of a Stock Share Portfolio

Oleg Kritski and Marina Ulyanova

Applied Econometrics, 2007, vol. 8, issue 4, 3-17

Abstract: The method of evaluation of stochastic volatility (SV) model coefficients, with time going to the infinity, is consid-ered. The problem of finding the solution of a system of stochastic differential equations is reduced to that of the analytical solution of the Fokker-Planck-Kolmogorov asymptotic equation. The constructed algorithm is applied to econometric analysis of daily GAZPROM share prices and values of S&P500 Index options (SPX).

Keywords: stochastic volatility model; Fokker-Planck-Kolmogorov equation (search for similar items in EconPapers)
JEL-codes: C02 C13 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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