Stochastic volatility : selected readings /

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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Shephard, Neil
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Oxford ; New York : Oxford University Press, 2005.
Colección:Advanced texts in econometrics.
Temas:
Stochastic processes.
Finance > Mathematical models.
Money market > Mathematical models.
Capital market > Mathematical models.
Stochastic Processes
Finances > Modèles mathématiques.
Processus stochastiques.
Marché monétaire > Modèles mathématiques.
Marché financier > Modèles mathématiques.
MATHEMATICS > Probability & Statistics > Stochastic Processes.
Capital market > Mathematical models
Finance > Mathematical models
Money market > Mathematical models
Stochastic processes
Stochastische modellen.
Beweeglijkheid.
Econometrische analyse.
Portfolio-theorie.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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