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Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)

Alexander Tsyplakov

Quantile, 2010, issue 8, 69-122

Abstract: This essay tries to provide a straightforward and sufficiently accessible demonstration of some known procedures for stochastic volatility model. It reviews important concepts and gives informal derivations of related methods. The essay is meant to be useful as a cookbook for a novice. The exposition is confined to classical (non-Bayesian) framework.

Date: 2010
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Handle: RePEc:qnt:quantl:y:2010:i:8:p:69-122