Stochastic Volatility Models and Financial Risk Measures: Towards New Justifications

Authors

Hung T. Nguyen
Vladik Kreinovich, The University of Texas at El PasoFollow
Songsak Sriboonchitta

Publication Date

3-2009

Comments

Technical Report: UTEP-CS-09-11

Published in the Proceedings of the 2009 Singapore Economic Review Conference, Singapore, August 6-8, 2009.

Abstract

We provide theoretical justifications for the empirical successes of (1) the asymmetric heteroskedasticity models of stochastic volatility in mathematical finance and (2) Wang's distorted probability risk measures in actuarial and investment sciences, using a unified framework of symmetry groups.