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11 021 (0,146s) •

Project

Analysis of Fractional Stochastic Volatility Models and their Grid Implementation (GA14-11559S)

to calibrate the fractional stochastic volatility jump-diffusion model from the real marketIn this project we focus on the stochastic and numerical analysis of stochastic volatility models

AH - Ekonomie

  • 2014 - 2016
    • •
  • 5 233 tis. Kč
    • •
  • 5 233 tis. Kč
    • •
  • GA ČR
Project

Rough models of fractional stochastic volatility (GA18-16680S)

In this project we will focus on the analysis of fractional stochastic volatility (FSV) models. First and foremost, the option pricing task under rough FSV models will be analyzed. Since no closed pricing formulas ...

Statistics and probability

  • 2018 - 2021
    • •
  • 2 194 tis. Kč
    • •
  • 2 038 tis. Kč
    • •
  • GA ČR
Project

Modeling the structure and dynamics of energy, commodity and alternative asset prices (GA22-19617S)

to develop new accurate univariate and multivariate models of energy and alternative assets, models of commodity futures term structure and volatility spillovers between of the latent states (stochastic volati...

Finance

  • 2022 - 2024
    • •
  • 5 917 tis. Kč
    • •
  • 5 917 tis. Kč
    • •
  • GA ČR
Project

Returns on Property, Stocks, and Bonds - Consumption Perspective (GAP403/12/1394)

is based on the volatility bounds of the stochastic discount factor, which reflectWe will first test a Consumption based Capital Asset Pricing Model (CCAPM-durable goods. This model has the potential to explain ...

AE - Řízení, správa a administrativa

  • 2012 - 2016
    • •
  • 2 294 tis. Kč
    • •
  • 2 294 tis. Kč
    • •
  • GA ČR
Project

Robust numerical schemes for pricing of selected options under various market conditions (GA16-09541S)

various market conditions, starting with Black-Scholes model, later extended by stochastic parameters and jumps. The new methods will be based on a concept for selected types of options in considered market models, incl. f...

AH - Ekonomie

  • 2016 - 2018
    • •
  • 6 894 tis. Kč
    • •
  • 5 967 tis. Kč
    • •
  • GA ČR
Project

Forecasting Volatility in Emerging Financial Markets (GA18-05829S)

of forecasting models based on range-based volatility estimators and compare their performance against same models using realized volatility estimators. A complex thoroughThis project designs procedures for foreca...

Finance

  • 2018 - 2022
    • •
  • 2 576 tis. Kč
    • •
  • 2 226 tis. Kč
    • •
  • GA ČR
Project

Application of the Fuzzy-Stochastic Approaches in Financial Decision-making (GA402/02/1046)

. The goal is to verify mainly the fuzzy-stochastic portfolio models, forecasting models basis, fuzzy-stochastic model of financial derivatives, financial models of assets and liabilities on the f...

AE - Řízení, správa a administrativa

  • 2002 - 2004
    • •
  • 1 127 tis. Kč
    • •
  • 1 065 tis. Kč
    • •
  • GA ČR
Project

Arbitrage-free modelling of implied volatility. (GA13-25911S)

The project deals with modelling of options implied volatility where the implied volatility is considered as a function of strike price and time to maturity. We focus on arbitrage-free techniques where the strike arbitrage-...

AH - Ekonomie

  • 2013 - 2017
    • •
  • 2 955 tis. Kč
    • •
  • 2 955 tis. Kč
    • •
  • GA ČR
Project

Dynamics of information flows and volatility transmission in financial markets (GAP403/11/0020)

theexcess impact perspective, and we would jointly model the volatility of the returns markets using model-free non-parametric measures of ex-post volatility.. In this project we propose to extend modeling

AE - Řízení, správa a administrativa

  • 2011 - 2013
    • •
  • 2 495 tis. Kč
    • •
  • 2 495 tis. Kč
    • •
  • GA ČR
Project

Advanced Econometric Models for Option Pricing – AdEMOP (GJ18-00522Y)

breaks) in the time evolution of the implied volatility surface. The modelingThis project proposes a new innovative approach to econometric modeling of the implied volatility of options over time, where the impli...

Economic Theory

  • 2018 - 2021
    • •
  • 3 362 tis. Kč
    • •
  • 3 362 tis. Kč
    • •
  • GA ČR
  • 1 - 10 out of 11 021