Matches in SemOpenAlex for { <https://semopenalex.org/work/W3125969138> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W3125969138 abstract "In this paper, we are interested in continuous time models in which the index level induces some feedback on the dynamics of its composing stocks. More precisely, we propose a model in which the log-returns of each stock may be decomposed into a systemic part proportional to the log-returns of the index plus an idiosyncratic part. We show that, when the number of stocks in the index is large, this model may be approximated by a local volatility model for the index and a stochastic volatility model for each stock with volatility driven by the index. This result is useful in a calibration perspective : it suggests that one should first calibrate the local volatility of the index and then calibrate the dynamics of each stock. We explain how to do so in the limiting simplified model and in the original model." @default.
- W3125969138 created "2021-02-01" @default.
- W3125969138 creator A5007421911 @default.
- W3125969138 creator A5085872036 @default.
- W3125969138 date "2008-12-17" @default.
- W3125969138 modified "2023-10-02" @default.
- W3125969138 title "Coupling Index and Stocks" @default.
- W3125969138 hasPublicationYear "2008" @default.
- W3125969138 type Work @default.
- W3125969138 sameAs 3125969138 @default.
- W3125969138 citedByCount "2" @default.
- W3125969138 crossrefType "posted-content" @default.
- W3125969138 hasAuthorship W3125969138A5007421911 @default.
- W3125969138 hasAuthorship W3125969138A5085872036 @default.
- W3125969138 hasConcept C127413603 @default.
- W3125969138 hasConcept C136764020 @default.
- W3125969138 hasConcept C149782125 @default.
- W3125969138 hasConcept C162324750 @default.
- W3125969138 hasConcept C166957645 @default.
- W3125969138 hasConcept C188198153 @default.
- W3125969138 hasConcept C204036174 @default.
- W3125969138 hasConcept C205649164 @default.
- W3125969138 hasConcept C2777382242 @default.
- W3125969138 hasConcept C2779343474 @default.
- W3125969138 hasConcept C2779834249 @default.
- W3125969138 hasConcept C2780299701 @default.
- W3125969138 hasConcept C33923547 @default.
- W3125969138 hasConcept C41008148 @default.
- W3125969138 hasConcept C78519656 @default.
- W3125969138 hasConcept C85393063 @default.
- W3125969138 hasConcept C88389905 @default.
- W3125969138 hasConcept C91602232 @default.
- W3125969138 hasConceptScore W3125969138C127413603 @default.
- W3125969138 hasConceptScore W3125969138C136764020 @default.
- W3125969138 hasConceptScore W3125969138C149782125 @default.
- W3125969138 hasConceptScore W3125969138C162324750 @default.
- W3125969138 hasConceptScore W3125969138C166957645 @default.
- W3125969138 hasConceptScore W3125969138C188198153 @default.
- W3125969138 hasConceptScore W3125969138C204036174 @default.
- W3125969138 hasConceptScore W3125969138C205649164 @default.
- W3125969138 hasConceptScore W3125969138C2777382242 @default.
- W3125969138 hasConceptScore W3125969138C2779343474 @default.
- W3125969138 hasConceptScore W3125969138C2779834249 @default.
- W3125969138 hasConceptScore W3125969138C2780299701 @default.
- W3125969138 hasConceptScore W3125969138C33923547 @default.
- W3125969138 hasConceptScore W3125969138C41008148 @default.
- W3125969138 hasConceptScore W3125969138C78519656 @default.
- W3125969138 hasConceptScore W3125969138C85393063 @default.
- W3125969138 hasConceptScore W3125969138C88389905 @default.
- W3125969138 hasConceptScore W3125969138C91602232 @default.
- W3125969138 hasLocation W31259691381 @default.
- W3125969138 hasOpenAccess W3125969138 @default.
- W3125969138 hasPrimaryLocation W31259691381 @default.
- W3125969138 hasRelatedWork W1511161229 @default.
- W3125969138 hasRelatedWork W1544476793 @default.
- W3125969138 hasRelatedWork W1580453396 @default.
- W3125969138 hasRelatedWork W1605555750 @default.
- W3125969138 hasRelatedWork W1610459011 @default.
- W3125969138 hasRelatedWork W1974346758 @default.
- W3125969138 hasRelatedWork W2034293827 @default.
- W3125969138 hasRelatedWork W2060310634 @default.
- W3125969138 hasRelatedWork W2218796853 @default.
- W3125969138 hasRelatedWork W2735926768 @default.
- W3125969138 hasRelatedWork W2949144171 @default.
- W3125969138 hasRelatedWork W3121328853 @default.
- W3125969138 hasRelatedWork W3122355853 @default.
- W3125969138 hasRelatedWork W3123174635 @default.
- W3125969138 hasRelatedWork W3124136838 @default.
- W3125969138 hasRelatedWork W3125320261 @default.
- W3125969138 hasRelatedWork W3125915329 @default.
- W3125969138 hasRelatedWork W3202110372 @default.
- W3125969138 hasRelatedWork W3203271346 @default.
- W3125969138 hasRelatedWork W346073250 @default.
- W3125969138 isParatext "false" @default.
- W3125969138 isRetracted "false" @default.
- W3125969138 magId "3125969138" @default.
- W3125969138 workType "article" @default.