Assessment of Multivariate Financial Risks of a Stock Share Portfolio

Abstract

The method of evaluation of stochastic volatility (SV) model coefficients, with time going to the infinity, is consid-ered. The problem of finding the solution of a system of stochastic differential equations is reduced to that of the analytical solution of the Fokker-Planck-Kolmogorov asymptotic equation. The constructed algorithm is applied to econometric analysis of daily GAZPROM share prices and values of S&P500 Index options (SPX).stochastic volatility model; Fokker-Planck-Kolmogorov equation