A hybrid stochastic volatility model incorporating local volatility

Yu Tian; Zili Zhu; Fima C Klebaner; Kais Hamza

doi:10.1109/ICCIS.2012.20

A hybrid stochastic volatility model incorporating local volatility

Yu Tian, Zili Zhu, Fima C Klebaner, Kais Hamza

School of Mathematics

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Research › peer-review

Original language	English
Title of host publication	Proceedings of the Fourth International Conference on Computational and Information Sciences
Editors	Wensheng Shen, Yan Wang, Xinyu Geng
Place of Publication	New Jersey USA
Publisher	IEEE, Institute of Electrical and Electronics Engineers
Pages	333 - 336
Number of pages	4
ISBN (Print)	9780769547893
DOIs	https://doi.org/10.1109/ICCIS.2012.20
Publication status	Published - 2012
Event	International Conference on Computational and Information Sciences 2012 - Chongqing, China Duration: 17 Aug 2012 → 19 Aug 2012 Conference number: 4th https://dl.acm.org/citation.cfm?id=2374485&picked=prox http://toc.proceedings.com/15952webtoc.pdf

Conference

Conference	International Conference on Computational and Information Sciences 2012
Abbreviated title	ICCIS 2012
Country/Territory	China
City	Chongqing
Period	17/08/12 → 19/08/12
Internet address	https://dl.acm.org/citation.cfm?id=2374485&picked=prox http://toc.proceedings.com/15952webtoc.pdf

Access to Document

10.1109/ICCIS.2012.20

Cite this

@inproceedings{75bc5ee25de34ea0958d067a5ac11b13,

title = "A hybrid stochastic volatility model incorporating local volatility",

author = "Yu Tian and Zili Zhu and Klebaner, {Fima C} and Kais Hamza",

year = "2012",

doi = "10.1109/ICCIS.2012.20",

language = "English",

isbn = "9780769547893",

pages = "333 -- 336",

editor = "Wensheng Shen and Yan Wang and Xinyu Geng",

booktitle = "Proceedings of the Fourth International Conference on Computational and Information Sciences",

publisher = "IEEE, Institute of Electrical and Electronics Engineers",

address = "United States of America",

note = "International Conference on Computational and Information Sciences 2012, ICCIS 2012 ; Conference date: 17-08-2012 Through 19-08-2012",

url = "https://dl.acm.org/citation.cfm?id=2374485&picked=prox, http://toc.proceedings.com/15952webtoc.pdf",

}

Tian, Y, Zhu, Z, Klebaner, FC & Hamza, K 2012, A hybrid stochastic volatility model incorporating local volatility. in W Shen, Y Wang & X Geng (eds), Proceedings of the Fourth International Conference on Computational and Information Sciences. IEEE, Institute of Electrical and Electronics Engineers, New Jersey USA, pp. 333 - 336, International Conference on Computational and Information Sciences 2012, Chongqing, China, 17/08/12. https://doi.org/10.1109/ICCIS.2012.20

A hybrid stochastic volatility model incorporating local volatility. / Tian, Yu; Zhu, Zili; Klebaner, Fima C et al.

Proceedings of the Fourth International Conference on Computational and Information Sciences. ed. / Wensheng Shen; Yan Wang; Xinyu Geng. New Jersey USA : IEEE, Institute of Electrical and Electronics Engineers, 2012. p. 333 - 336.

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Research › peer-review

TY - GEN

T1 - A hybrid stochastic volatility model incorporating local volatility

AU - Tian, Yu

AU - Zhu, Zili

AU - Klebaner, Fima C

AU - Hamza, Kais

N1 - Conference code: 4th

PY - 2012

Y1 - 2012

U2 - 10.1109/ICCIS.2012.20

DO - 10.1109/ICCIS.2012.20

M3 - Conference Paper

SN - 9780769547893

SP - 333

EP - 336

BT - Proceedings of the Fourth International Conference on Computational and Information Sciences

A2 - Shen, Wensheng

A2 - Wang, Yan

A2 - Geng, Xinyu

PB - IEEE, Institute of Electrical and Electronics Engineers

CY - New Jersey USA

T2 - International Conference on Computational and Information Sciences 2012

Y2 - 17 August 2012 through 19 August 2012

ER -