Stochastic volatility : selected readings /
Stochastic volatility : selected readings /
edited by Neil Shephard.
- viii, 525 pages : illustrations ; 25 cm.
- Advanced texts in econometrics .
- Advanced texts in econometrics. .
Includes bibliographical references and index.
General Introduction / Model Building / A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / A Study of Daily Sugar Prices, 1961-79 / Financial Returns Modelled by the Product of Two Stochastic Processes -- The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / The Pricing of Options on Assets with Stochastic Volatilities / A Multivariate Latent Factor ARCH Model / The Dynamics of Exchange Rate Volatility -- Multivariate Stochastic Variance Models / A Framework for Volatility Modelling / Stochastic Autoregressive Volatility -- Long Memory in Continuous-time Stochastic Volatility Models / Inference / Bayesian Analysis of Stochastic Volatility Models / Likelihood Inference and Comparison with ARCH Models / Stochastic Volatility -- Estimation of Stochastic Volatility Models with Diagnostics / Option Pricing / Pricing Foreign Currency Options with Stochastic Volatility / A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options / A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation / Realised Variation / The Distribution of Exchange Rate Volatility / Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models / N. Shephard -- Part I -- P. K. Clark -- S. J. Taylor -- / B. Rosenberg -- J. Hull and A. White -- F. X. Diebold and M. Nerlove -- / A. C. Harvey, E. Ruiz, and N. Shephard -- T. G. Andersen -- / F. Comte and E. Renault -- Part II -- E. Jacquier, N. G. Polson, and P. E. Rossi -- S. Kim, N. Shephard, and S. Chib -- / A. R. Gallant, D. Hsieh, and G. Tauchen -- Part III -- A. Melino and S. M. Turnbull -- S. L. Heston -- M. Chernov and E. Ghysels -- Part IV -- T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys -- O. E. Barndorff-Nielsen and N. Shephard. 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16.
0199257191 9780199257195 0199257205 9780199257201
2005299546
Stochastic processes.
Finance--Mathematical models
Money market--Mathematical models
Capital market--Mathematical models
QA274 / .S824 2005
519.23
Includes bibliographical references and index.
General Introduction / Model Building / A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / A Study of Daily Sugar Prices, 1961-79 / Financial Returns Modelled by the Product of Two Stochastic Processes -- The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / The Pricing of Options on Assets with Stochastic Volatilities / A Multivariate Latent Factor ARCH Model / The Dynamics of Exchange Rate Volatility -- Multivariate Stochastic Variance Models / A Framework for Volatility Modelling / Stochastic Autoregressive Volatility -- Long Memory in Continuous-time Stochastic Volatility Models / Inference / Bayesian Analysis of Stochastic Volatility Models / Likelihood Inference and Comparison with ARCH Models / Stochastic Volatility -- Estimation of Stochastic Volatility Models with Diagnostics / Option Pricing / Pricing Foreign Currency Options with Stochastic Volatility / A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options / A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation / Realised Variation / The Distribution of Exchange Rate Volatility / Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models / N. Shephard -- Part I -- P. K. Clark -- S. J. Taylor -- / B. Rosenberg -- J. Hull and A. White -- F. X. Diebold and M. Nerlove -- / A. C. Harvey, E. Ruiz, and N. Shephard -- T. G. Andersen -- / F. Comte and E. Renault -- Part II -- E. Jacquier, N. G. Polson, and P. E. Rossi -- S. Kim, N. Shephard, and S. Chib -- / A. R. Gallant, D. Hsieh, and G. Tauchen -- Part III -- A. Melino and S. M. Turnbull -- S. L. Heston -- M. Chernov and E. Ghysels -- Part IV -- T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys -- O. E. Barndorff-Nielsen and N. Shephard. 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16.
0199257191 9780199257195 0199257205 9780199257201
2005299546
Stochastic processes.
Finance--Mathematical models
Money market--Mathematical models
Capital market--Mathematical models
QA274 / .S824 2005
519.23