Stochastic Volatility: Selected Readings by Neil ShephardStochastic Volatility: Selected Readings by Neil Shephard

Stochastic Volatility: Selected Readings

EditorNeil Shephard

Paperback | March 22, 2005

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Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This book brings together some of the main papers that have influenced the field of the econometrics of stochastic volatility,and shows that the development of this subject has been highly multidisciplinary, with results drawn from financial economics, probability theory, and econometrics, blending to produce methods and models that have aided our understanding of the realistic pricing of options, efficient assetallocation, and accurate risk assessment. A lengthy introduction by the editor connects the papers with the literature.
Neil Shephard is Professor of Economics and Official Fellow in Economics, Nuffield College, at the University of Oxford. He has also taught at the London School of Economics. He has published widely, is on the Editorial Board of the Review of Economic Studies, and is Associate Editor of Econometrica.
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Title:Stochastic Volatility: Selected ReadingsFormat:PaperbackDimensions:536 pages, 9.21 × 6.14 × 1.1 inPublished:March 22, 2005Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199257205

ISBN - 13:9780199257201

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Table of Contents

N. Shephard: General IntroductionPart I: Model Building1. P. K. Clark: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2. S. J. Taylor: Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-793. B. Rosenberg: The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices4. J. Hull and A. White: The Pricing of Options on Assets with Stochastic Volatilities5. F. X. Diebold and M. Nerlove: The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model6. A. C. Harvey, E. Ruiz, and N. Shephard: Multivariate Stochastic Variance Models7. T. G. Andersen: Stochastic Autoregressive Volatility: A Framework for Volatility Modelling8. F. Comte and E. Renault: Long Memory in Continuous-time Stochastic Volatility ModelsPart II: Inference9. E. Jacquier, N. G. Polson, and P. E. Rossi: Bayesian Analysis of Stochastic Volatility Models10. S. Kim, N. Shephard, and S. Chib: Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models11. A. R. Gallant, D. Hsieh, and G. Tauchen: Estimation of Stochastic Volatility Models with DiagnosticsPart III: Option Pricing12. A. Melino and S. M. Turnbull: Pricing Foreign Currency Options with Stochastic Volatility13. S. L. Heston: A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options14. M. Chernov and E. Ghysels: A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options ValuationPart IV: Realised Variation15. T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys: The Distribution of Exchange Rate Volatility16. O. E. Barndorff-Nielsen and N. Shephard: Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility ModelsIndex