Real-world equity modelling webinar
Document ID: 2009-1519
Published on: 26th August 2009
Author: Steffen Sorensen, Frederic El Cherif, Jack Cheyne
This webcast was delivered by Steffen Sorensen, Frederic El Cherif and Jack Cheyne.
The agenda for the session was as follows:
- Target setting
- Unconditional equity volatility
- Unconditional international equity correlations
- Unconditional equity risk premia
- Conditional equity volatility term-structure
- Percentiles
Choice of equity model
- Constant volatility vs. stochastic volatility models
- Calibration
Further reference materials can be found here:
Real world equity calibration. Target setting methodology for equity.
Real world equity calibration. A comparison of realised and expected volatility.
Real world equity calibration. Unconditional equity volatility in emerging and developed countries.
Stochastic Volatility Jump Diffusion Model. Real world calibration
Term Structure in the SVJD Model - Volatility, Skew, Kurtosis and Return Distributions
