Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Fangwei Shi"'
Publikováno v:
International Journal of Managerial Finance. 17:416-437
PurposeThe purpose of the study is to examine overreaction effect in the Chinese stock market after the global financial crisis (GFC) of 2007 for all the stocks listed in Shanghai Stock Exchange (SSE) Composite 50 index.Design/methodology/approachTo
Autor:
Fangwei Shi, Antoine Jacquier
Publikováno v:
Journal of Applied Probability. 57:19-28
We extend previous large deviations results for the randomised Heston model to the case of moderate deviations. The proofs involve the G\"artner-Ellis theorem and sharp large deviations tools.
Comment: 8 pages
Comment: 8 pages
Autor:
Antoine Jacquier, Fangwei Shi
Publikováno v:
SIAM Journal on Financial Mathematics. 10:89-129
We propose a randomised version of the Heston model-a widely used stochastic volatility model in mathematical finance-assuming that the starting point of the variance process is a random variable. In such a system, we study the small- and large-time
Publikováno v:
SIAM Journal on Financial Mathematics. 9:1017-1045
We consider the fractional Heston model originally proposed by Comte, Coutin, and Renault [Ann. Finance, 8 (2012), pp. 337--378]. Inspired by recent groundbreaking work on rough volatility [E. Alos...
Autor:
Antoine Jacquier, Fangwei Shi
Publikováno v:
SSRN Electronic Journal.
We propose a randomised version of the Heston model -- a widely used stochastic volatility model in mathematical finance -- assuming that the starting point of the variance process is a random variable. In such a system, we study the small- and large
Autor:
Jacquier, Antoine, Fangwei Shi
Publikováno v:
SIAM Journal on Financial Mathematics; 2019, Vol. 10 Issue 1, p88-129, 41p
Publikováno v:
SIAM Journal on Financial Mathematics; 2018, Vol. 9 Issue 3, p1017-1045, 29p