1995, "Factor Models of Domestic and Foreign Interest Rates with Stochastic Volatility," Mathematical Finance 5, 167-185.
What does SV stand for?
SV stands for Stochastic Volatility
This definition appears very rarely and is found in the following Acronym Finder categories:
- Science, medicine, engineering, etc.
See other definitions of SV
We have 61 other meanings of SV in our Acronym Attic
- Spiritus Vini (Latin: alcoholic Spirit)
- Sport Veloce (Lamborghini model)
- Staff Vacancy (on overtime forms)
- Star Vipers (gaming club)
- Starting Vector
- State Vector (physics)
- Static Vessels (band)
- Steam Valve
- Steam Vat (drafting and design)
- Steve Vai (musician)
Samples in periodicals archive:
economy with both stochastic volatility and parameter drifting in the Taylor rule.
Stochastic volatility models, on the other hand, assume that the volatility follows a particular stochastic process (Heston, 1993).
of Oxford) draws together 16 papers by international contributors on the econometrics of stochastic volatility used in financial economics and mathematical finance, also influenced by the fields of probability theory and econometrics.
The problem considered is the computation of the value of an American-style option in a stochastic volatility setting.
The topics of Chapter 6, namely autoregressive conditionally heteroskedastic (ARCH) and stochastic volatility models, lie at the heart of the book.
However, existing research (Bakshi, Cao, and Chen 1997; Nandi 1998; Dumas, Fleming, and Whaley 1998) suggests that even more sophisticated rebalancing schemes such as those using stochastic volatility models may not lead to substantially better results than the simple BSM model in the S&P 500 index options market.
Going Beyond the VIX - Solving the Challenges of Modeling Volatility "With the possibility of actually observing implied 'vol of vol' due to options trading on the VIX, stochastic volatility models of stock market indices have much more stringent bounds on their behavior, helping to resolve the limitations of previous models used," said Tom Davis, Vice President of the Client Solutions Group at Numerix.