Lévy-Based Stochastic Volatility Models

Student: Iaksin Oleg

Educational Programme: Statistical Analysis of Economic and Social Processes (Master)

Final Grade: 10

Year of Graduation: 2016

In this paper we consider the model, that is based on alpha-stable process, and the cumulative number of trade operations is taken as stochastic clock. This model is more common case of model, that was introduced in the article of Ane, Geman (2000). Using simulated and real data we show that the suggested in this paper model describes the real process of price log returns well. Then the further line of investigation is described, that the estimation of Levy density can be another criteria of how well the considered model describes the real process of price log returns.

Full text (added May 15, 2016)

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