Analysis of Fractional Stochastic Volatility Models and their Grid Implementation
Project goals
In this project we focus on the stochastic and numerical analysis of stochastic volatility models and their robust implementation in parallel and distributed environment. A special attention will be paid to models with fractional Brownian motion. We will study a long memory effect caused by fractional Brownian noise and its impact on the values of most common portfolio sensitivities. We will propose a suitable way to calibrate the fractional stochastic volatility jump-diffusion model from the real market data.
Keywords
stochastic differential equationsfractional Brownian motionnumerical methodsstochastic volatility modelslong memory effectcalibrationparallel and distributed computinggrid technologies
Public support
Provider
Czech Science Foundation
Programme
Standard projects
Call for proposals
Standardní projekty 18 (SGA0201400001)
Main participants
Západočeská univerzita v Plzni / Fakulta aplikovaných věd
Contest type
VS - Public tender
Contract ID
14-11559S
Alternative language
Project name in Czech
Analýza frakcionálních modelů stochastické volatility a jejich implementace v gridu
Annotation in Czech
V tomto projektu se zaměříme na modely stochastické volatility a jejich robustní implementace v paralelním a distribuovaném prostředí. Zvláštní pozornost bude věnována modelům s frakcionálním Brownovým pohybem. Budeme studovat paměťový efekt způsobený frakcionálním Brownovým šumem a jeho vliv na hodnoty nejběžnějších citlivostních charakteristik portfólia. Navrhneme vhodný způsob kalibrace modelu stochastické volatility se skoky na reálná tržní data.
Scientific branches
R&D category
ZV - Basic research
CEP classification - main branch
AH - Economics
CEP - secondary branch
BA - General mathematics
CEP - another secondary branch
BB - Applied statistics, operational research
10101 - Pure mathematics
10103 - Statistics and probability
50201 - Economic Theory
50202 - Applied Economics, Econometrics
50203 - Industrial relations
50204 - Business and management
50205 - Accounting
50206 - Finance
Completed project evaluation
Provider evaluation
U - Uspěl podle zadání (s publikovanými či patentovanými výsledky atd.)
Project results evaluation
Main contributions of the project are newly proposed modelling strategies for option pricing that are better suitable for real world data, numerical analysis, and isogeometric analysis in option pricing. Most of the theoretical and empirical results are under review at the end of the project. In case of successful publication of the results, project will deliver sound collection of results.
Solution timeline
Realization period - beginning
Jan 1, 2014
Realization period - end
Dec 31, 2016
Project status
U - Finished project
Latest support payment
Apr 12, 2016
Data delivery to CEP
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data delivery code
CEP17-GA0-GA-U/03:1
Data delivery date
Jun 28, 2017
Finance
Total approved costs
5,233 thou. CZK
Public financial support
5,233 thou. CZK
Other public sources
0 thou. CZK
Non public and foreign sources
0 thou. CZK
Recognised costs
5 233 CZK thou.
Public support
5 233 CZK thou.
0%
Provider
Czech Science Foundation
CEP
AH - Economics
Solution period
01. 01. 2014 - 31. 12. 2016