Stochastic Volatility Models with Jumps

Student: Iakashev Bair

Educational Programme: Statistical Modelling and Actuarial Science (Master)

Final Grade: 9

Year of Graduation: 2018

The thesis studies stochastic volatility models with different sources of jumps. It was shown that adding jumps to the asset dynamics allows to better specify the model. The best model among the studied is the model with Variation Gamma jumps.

Full text (added June 5, 2018)

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