Show simple item record

hal.structure.identifier
dc.contributor.authorValeyre, Sébastien*
hal.structure.identifier
dc.contributor.authorGrebenkov, Denis
HAL ID: 178762
ORCID: 0000-0002-6273-9164
*
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane*
hal.structure.identifier
dc.contributor.authorLiu, Qian*
dc.date.accessioned2013-12-19T09:08:49Z
dc.date.available2013-12-19T09:08:49Z
dc.date.issued2013-11
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12330
dc.language.isoenen
dc.subjectVolatilité (finances)en
dc.subjectModèles mathématiquesen
dc.subjectMarché financieren
dc.subject.ddc332en
dc.subject.classificationjelC.C5.C51en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelG.G1.G13en
dc.titleThe reactive volatility modelen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherLaboratory of Condensed Matter Physics, CNRS – Ecole Polytechnique;France
dc.description.abstractenThe article focuses on the leverage effect modeling as a form of stochastic processes through the volatility model. It states that leverage effect is characterized by a subsequent stock price dropping and increase in volatility. It mentions that the first model that describes the volatility and price relations known as Constant Elasticity of Variance Model (CEV) was developed by Cox.
dc.relation.isversionofjnlnameQuantitative Finance
dc.relation.isversionofjnlvol13en
dc.relation.isversionofjnlissue11en
dc.relation.isversionofjnldate2013-11
dc.relation.isversionofjnlpages1697-1706en
dc.relation.isversionofdoi10.1080/14697688.2013.797594en
dc.identifier.urlsitehttp://arxiv.org/abs/1209.5190v2
dc.relation.isversionofjnlpublisherRoutledgeen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.description.readershipRecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.identifierhal-01531278*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record