Volatility Parameter Research Articles

Stock Price Distributions with Stochastic Volatility: An Analytic Approach

We study the stock price distributions that arise when prices follow a diffusion process with a stochastically varying volatility parameter. We use analytic techniques to derive an explicit closed-form solution for the case where volatility is driven by an arithmetic Ornstein-Ublenbeck (or AR1) process. We then apply our results to two related problems in the finance literature: (1) options pricing in a world of stochastic volatility, and (2) the relationship between stochastic volatility and the nature of fat tailes in stock price distributions. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

Liquid-waste incineration in a parallel-stream configuration: Parametric study

Proven efficiency is a prerequisite for incineration to be accepted as a widely used destruction method for hazardous liquid wastes. The goal of this work is to use a multicomponent spray combustion model previously developed to (1) extend the investigation of injection configurations to chlorinated hydrocarbons, (2) predict the effects of initial droplet size and geometrical, volatility and chemical-kinetic parameters on the destruction efficiency in an idealized incinerator, and (3) compare the observed trends with the available experimental data. A parametric study was conducted on three liquid wastes: benzene, toluene and monochlorobenzene, somewhat representative of the range of halogen levels, volatilities and chemical kinetics prevalent in wastes. It was found that monochlorobenzene is the most incineration resistant of the three, followed by toluene and benzene. The destruction efficiency was found to be affected mainly by the waste chemical kinetics and primarily improved by initial droplet size reduction and shorter distance from the provided ignition heat-source location, whereas no dramatic amelioration was induced by initial composition variations. The results are in good qualitative agreement with the related experimental studies. Albeit simplified, this model provides a characterization of the parameters which could be controlled to obtain a more efficient incineration of the waste. Namely, small droplet sizes are needed either by enhanced primary atomization or, in the case of mixed injection, through microexplosion. For most hazardous liquid wastes (heavy with very slow chemical kinetics), mixed injection will achieve a better destruction. An auxiliary fuel significantly more volatile than the liquid waste enhances slightly the destruction because of its effect on the vaporization process, but it is believed that this feature would not be observed with a longer combustor. In the particular case of aromatic compounds however, separate injection with alternated streams of waste and fuel, was found to be better than blending of the waste and auxiliary fuel.

A fast algorithm for three-phase distillation towers: Ein schneller algorithmus zur berechnung des konzentrationsverlaufs in dreiphasen-destillationskollonnen

A distillation tower algorithm which accounts for two liquid phases on some trays is presented. The major assumptions being made are constant molal overflow, uniform pressure across the tower, ideality of the vapour phase and 100% tray efficiencies. A simplified inside—-out technique is used to achieve convergence to the steady-state solution. In an inner loop vapour and average liquid compositions are calculated. In the outer loop an efficient phase-splitting algorithm developed by the authors is used where necessary to calculate estimates of the liquid-liquid equilibrium compositions. In this outer loop volatility parameters are also updated. Simulation results for example problem 2 by Block and Hegner compare well with those reported by these authors.

Variances of Security Price Returns Based on High, Low, and Closing Prices

In a recent paper, Garman and Klass (1980) studied the problem of estimating capital asset price volatility parameters. Developing an idea first introduced by Parkinson (1980), they argue that improved volatility measures can be obtained by taking into account the daily high, low, and opening prices in addition to the traditionally used closing prices. This paper is concerned mainly with testing the empirical validity of different volatility estimators based on high, low, and closing prices.

On the Estimation of Security Price Volatilities from Historical Data

This paper examines the problem of estimating capital asset price volatility parameters from the most available forms of public data. While many varieties of such data are possible, we shall consider here only those which are truly universal in their accessibility to investors, namely, data appearing in the financial pages of the newspaper. In particular, we shall consider volatility estimators which are based upon the historical opening, closing, high, and low prices and transaction volume. Alternative estimators of volatility may be constructed from such data as significant news events, fundamental information regarding a company's prospects, and other forms of publicly available data, but these will not be considered here. Any parameter-estimation procedure must begin with a maintained hypothesis regarding the structural model within which estimation is to be made. Our structural model is given exposition in Section II. Section III discusses the classical Improved estimators of security price volatilities are formulated. These estimators employ data of the type commonly found in the financial pages of a newspaper: the high, low, opening, and closing prices and the transaction volume. The new estimators are seen to have relative efficiencies that are considerably higher than the standard estimators.

A new class of solution methods for multicomponent, multistage separation processes

AbstractA new algorithm was developed for the solution of the equations that describe multicomponent, multistage separation processes operating at steady state. The algorithm is based on the use of newly defined energy and volatility parameters as the primary successive approximation variables. A third parameter was defined for each stage as a unique combination of the liquid and vapor phase rates and the temperature, and the quasi‐Newton method of Broyden was employed to iterate on these parameters. The exceptional stability of the new algorithm in very difficult cases, as well as its efficiency in easy cases, are demonstrated using a variety of example problems.

Fractional Brownian Motions, Fractional Noises and Applications

Fractional Brownian Motions, Fractional Noises and Applications