波动率

基于波动率和VaR的油价风险计量

Risk Measures for oil price based on the Volatility and VaR model

完备的随机波动率模型是DavidG。

The complete models with stochastic volatility is a new model with stochastic volatility given by David G.

慢波的波动率加快（P0.05）。

The slow wave propagation rate speeds up ( P0.05 ) .

基于CPLD的角速度波动率测量

The Fluctuant Rate of Angular Speed for Calibrating in CPLD

权证定价中基于GARCH模型族的波动率研究

A Study of Volatility in Warrants Pricing Based on GARCH Family Models

提出一种发现算法ROAD（routingonactiveanddemand），在延时和波动率之间自适应地调整以提供更好的性能。

ROAD ( routing on active and demand ), a new lookup algorithm , adjusts itself to provide the best performance across a range of lookup delay and churn rates .

处理波动率问题的离散模型主要是GARCH类模型。

Discretemodel to deal with the problem of volatility is the GARCH model .

金融资产价格的波动率的测度具有重要意义，实际波动率（RealizedVolatility）概念是近些年提出的用于测度市场波动率的新概念，在诸多方面具有优势。

The volatility measure of asset return is very important . The concept of realized volatility is proposed in the recent literature and has great advantage .

基于因子分析方法的PPI波动率研究

A Study of Producer Price Index Volatility by Factor Analysis

Black-Scholes公式在期权定价理论中占有重要的地位，它成立的一个前提条件是假定波动率为常数。

The Black-Scholes model played an important role in option pricing theory .

基于CAPM两因素模型的个股波动率分解的实证分析

Empirical Exploration of the Volatility Decomposition of Individual Stock Based on CAPM Two-factor Model

ARCH族模型是波动率模型中的佼佼者，无论是理论研究的深度还是实际应用的广泛性，都是其他波动率模型所无法比拟的。

Whether in the depth of the theoretical research or in the practical application of universality , all other volatility models can not compare with the ARCH family models .

基于多元GARCH模型的A股主要行业指数波动率溢出分析及风险度量

Volatility Transmission Analysis and Risk Measurement of Main Sector Indices of A Shares Based on Multivariate GARCH Models

我们以平均股票波动率、CAPM模型、Fama-French模型等构造了特质波动率指标来度量特质风险。

We measured idiosyncratic volatility based on average stock idiosyncratic , CAPM and Fama-French model .

实证结果显示运用GARCH（1,1）模型下的波动率进行蒙特卡罗模拟定价能够提供更好的价格预测。

The results show that Montel-Carlo model which used volatility in GARCH ( 1,1 ) can give more reasonable warrants pricing .

在Black-Scholes公式中，波动率σ是一个非常重要的参数。

In Black-Scholes model ,σ is an important parameter , which is also not freely observable in the market .

此后，在ARCH模型和GARCH模型基础上扩展出的GARCH族模型被广泛的应用于波动率研究的领域。

Since then , the GARCH family models based on the ARCH model and GARCH model have been widely used in the field of volatility study .

对于止损，我们基于VaR的思想来确定阈值，并通过GARCH模型来估计价差的波动率。第二：冲击成本的估算。

As to stop loss , we choose threshold based on VaR and estimate price volatility rate based on GARCH model . Second , estimate the impact cost .

再次，提出本文的核心部分，用EEP高精度配置法求解随机波动率下美式期权的定价问题。

The EEP high-order collocation method is proposed and implemented to pricing American options under stochastic volatility .

通过数值分析发现一个与传统相反的结论，R&D升级投资期权价值随无风险利率r和项目价值的波动率上升而下降，但随投资延迟损失率上升而上升。

Through numerical analysis the thesis finds one conclusion contrary to tradition , R & D upgrade investment options worth has positive relationship with risk interest rate and fluctuation rate , but negative relationship with the rate of loss delaying .

根据实际，人们建立了多种随机的波动率模型，如随机波动率模型（S&V模型），GARCH模型等。

According to practice , many models for stochastic volatility were presented , such as Stochastic Volatility model ( S & V model ), GARCH model .

Hull-White随机波动率模型的欧式障碍期权

Pricing European Barrier Options in Hull-White Stochastic Volatility Model

在减小转速波动率方面重点分析了脉冲宽度调制（PWM）占空比对转速波动的影响，指出如果根据转速给定实时控制整流输出电压，在低速时可减小转速波动率约80%。

The speed fluctuations can be reduced if the PWM ( pulse width modulation ) can be controlled to about 0.85 at all speeds by adjusting the voltage applied to the motor , especially at low speeds .

sV模型是研究波动率问题的另一种方法，但是鉴于其复杂的计算，并不如GARCH模型流行。

SV model is another way to study the volatility problem , but because of the complexity of the calculations , it is not a popular GARCH models .

其次，在引进CBOE波动率指数VIX的基础上，给出了神经网络预测模型，并利用VIX已有数据验证了该预测算法。

Introduce the volatility index VIX of CBOE , is predicted by the network model on this basis .

自8月初以来，芝加哥期权交易所波动率指数（cboevolatilityindex，简称为vix，是衡量投资者恐慌程度的指标）每交易日都保持在30以上。

The CBOE volatility index , the barometer known as the VIX that is a gauge of fears of turbulence , has stayed above 30 in every session since early August .

然而，在BS模型中我们做了一些简单的假设，如常量波动率、常量利率，而这不符合金融市场的实际情况。

However , due to some simple assumptions of the BS model such as constant volatility and constant interest rates , which do not satisfy the practice in the financial markets .

经典的B-S模型成立的一个重要前提是假设期权标的资产价格的波动率相对于执行价格来说是不变的。

An important premise of the original B-S model is that the volatility of underlying asset price is constant relative to the exercise price .

对Black-Scholes模型的一种自然推广就是将波动率看作股票价格的函数或一个随机过程。

The nature extension of the Black-Scholes model is to modify the specification of volatility to make it a function of the stock price or a stochastic process .

首先，因为存在衍生品隐含波动率与远期LIBOR波动率之间的封闭解关系，避免了复杂的数值校准过程，这使得市场模型的校准过程相当容易。

First of all , the relationship between implied volatility and forward LIBOR volatility can be represented by a closed-form solution , which avoids the complex numerical calibration process .