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Publications by Boris Waelchli

Herding and Stochastic Volatility

SSRN Electronic Journal

English

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Stochastic Volatility and Stochastic Leverage

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Stochastic Volatility of Volatility in Continuous Time

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Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates

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Implied and Local Volatilities Under Stochastic Volatility

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Stochastic Volatility Models With Volatility Driven by Fractional Brownian Motions

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Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility

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It's All About Volatility of Volatility: Evidence From a Two-Factor Stochastic Volatility Model

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Multivariate Wishart Stochastic Volatility and Changes in Regime

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