User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Bi, M.; Escobar, M.; Goetz, B.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Principal Component Models with Stochastic Mean-Reverting levels. Pricing and Covariance surface improvements 
Abstract:
In this work, we create a family of simple stochastic covariance models, which showcase stochastic mean-reverting levels as an additional level of stochastic behavior beyond well-known stochastic volatility and correlation. The one-dimensional version of our model is inspired by Heston (1993), while the multidimensional model generalizes the principal component stochastic volatility model in Escobar and Olivares (2013). Their main contribution is that they capture stochastic mean-reversion leve...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Applied Stochastic Models in Business and Industry 
Journal listet in FT50 ranking:
nein 
Year:
2016 
Journal volume:
32 
Journal issue:
Pages contribution:
585-606 
Reviewed:
ja 
Language:
en 
Status:
Postprint / reviewed 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Nein 
versions