In Figà-Talamanca and Guerra (see FGTG,FGTG1 and FGTG2 for details) we have analysed the performance of Hobson and Rogers (1998) model to fit correctly the smile curve of implied volatility, paying specific attention to the calibration of the feedback parameter, which is shown to be crucial for the model. Various estimation procedures have been investigated in order to choose the optimal one for capturing option prices and thus implied volatility. In this paper we want to take advantage of our previous reasearch to understand the impact and the improvement in the estimation of Value at Risk when considering a complete stochastic volatility model.

Value at Risk in a Complete Stochastic Volatility Model

GUERRA, MARIA LETIZIA;
2004

Abstract

In Figà-Talamanca and Guerra (see FGTG,FGTG1 and FGTG2 for details) we have analysed the performance of Hobson and Rogers (1998) model to fit correctly the smile curve of implied volatility, paying specific attention to the calibration of the feedback parameter, which is shown to be crucial for the model. Various estimation procedures have been investigated in order to choose the optimal one for capturing option prices and thus implied volatility. In this paper we want to take advantage of our previous reasearch to understand the impact and the improvement in the estimation of Value at Risk when considering a complete stochastic volatility model.
Presentations at the XXXIV Euro Working Group on Financial Modelling
M.L.Guerra; G.Figà-Talamanca
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/26620
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