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Stochastic volatility : selected readings /
Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Oxford ; New York :
Oxford University Press,
2005.
|
| Colección: | Advanced texts in econometrics.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 245 | 0 | 0 | |a Stochastic volatility : |b selected readings / |c edited by Neil Shephard. |
| 260 | |a Oxford ; |a New York : |b Oxford University Press, |c 2005. | ||
| 300 | |a 1 online resource (viii, 525 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a data file | ||
| 490 | 1 | |a Advanced texts in econometrics | |
| 504 | |a Includes bibliographical references and indexes. | ||
| 505 | 0 | |a Part I. Model building -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / Peter K. Clark -- 2. Financial Returns Modelled by the Product of Two Stochastic Processes : A Study of Daily Sugar Prices, 1961-79 / Stephen J. Taylor -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / Barr Rosenberg -- 4. The Pricing of Options on Assets with Stochastic Volatilities / John Hull and Alan White -- 5. The Dynamics of Exchange Rate Volatility : A Multivariate Latent Factor Arch Model / Francis X. Diebold and Marc Nerlove -- 6. Multivariate Stochastic Variance Models / Andrew Harvey, Esther Ruiz and Neil Shephard -- 7. Stochastic Autoregressive Volatility : A Framework for Volatility Modeling / Torben G. Andersen -- 8. Long Memory in Continuous-time Stochastic Volatility Models / Fabienne Comte and Eric Renault -- Part II. Inference -- 9. Bayesian Analysis of Stochastic Volatility Models / Eric Jacquier, Nicholas G. Polson and Peter E. Rossi -- 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / Sangjoon Kim, Neil Shephard and Siddhartha Chib -- 11. Estimation of Stochastic Volatility Models with Diagnostics / A. Ronald Gallant, David Hsieh and George Tauchen -- Part III. Option pricing -- 12. Pricing Foreign Currency Options with Stochastic Volatility / Angelo Melino and Stuart M. Turnbull -- 13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / Steven L. Heston -- 14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation / Mikhail Chernov and Eric Ghysels -- Part IV. Realised variation -- 15. The Distribution of Realized Exchange Rate Volatility / Torben G. Andersen [and others] -- 16. Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / Ole E. Barndorff-Nielsen and Neil Shephard. | |
| 588 | 0 | |a Print version record. | |
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 520 | |a Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P.K. Clark). 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar P. | ||
| 546 | |a English. | ||
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Stochastic processes. | |
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 0 | |a Money market |x Mathematical models. | |
| 650 | 0 | |a Capital market |x Mathematical models. | |
| 650 | 2 | |a Stochastic Processes | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 6 | |a Processus stochastiques. | |
| 650 | 6 | |a Marché monétaire |x Modèles mathématiques. | |
| 650 | 6 | |a Marché financier |x Modèles mathématiques. | |
| 650 | 7 | |a MATHEMATICS |x Probability & Statistics |x Stochastic Processes. |2 bisacsh | |
| 650 | 7 | |a Capital market |x Mathematical models |2 fast | |
| 650 | 7 | |a Finance |x Mathematical models |2 fast | |
| 650 | 7 | |a Money market |x Mathematical models |2 fast | |
| 650 | 7 | |a Stochastic processes |2 fast | |
| 650 | 1 | 7 | |a Stochastische modellen. |2 gtt |
| 650 | 1 | 7 | |a Beweeglijkheid. |2 gtt |
| 650 | 1 | 7 | |a Econometrische analyse. |2 gtt |
| 650 | 1 | 7 | |a Portfolio-theorie. |2 gtt |
| 700 | 1 | |a Shephard, Neil. | |
| 776 | 0 | 8 | |i Print version: |t Stochastic volatility. |d Oxford ; New York : Oxford University Press, 2005 |z 0199257191 |z 9780199257195 |w (DLC) 2005299546 |w (OCoLC)59711776 |
| 830 | 0 | |a Advanced texts in econometrics. | |
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