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Topic Title: moving average local and stoch vol models
Created On Thu Jul 06, 06 02:48 PM
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wayone
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Thu Jul 06, 06 02:48 PM
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If anyone is interested, here is an updated link to the working paper "From moving average local and stochastic volatility models to 2-factor stochstic volatility models" of Oleg Kovrizhkin.
(click on "document delivery" and then click "download the document from")
The following models are considered



We will generalize these and other ideas further and show that they lead to a 2-factor pure stochastic volatility model:

Examples of analytically solvable models, applicable for multicurrency models consistent with cross currencies dynamics are given. Also jumps and stochastic interest rates are considered.

Edited: Fri Aug 25, 06 at 11:18 PM by wayone
 
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wayone
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Mon Jul 10, 06 05:47 PM
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Here is the paper in fileshare:

Edited: Fri Jan 05, 07 at 05:44 PM by wayone

moving_average.zip moving_average.zip  (233 KB)

 
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wayone
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Wed Aug 23, 06 09:40 PM
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Edited: Sat Jan 06, 07 at 03:16 PM by wayone
 
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wayone
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Sat Jan 06, 07 03:16 PM
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check for the updated version of the paper
 
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