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Stochastic volatility : selected readings / edited by Neil Shephard.

Contributor(s): Material type: TextTextSeries: Advanced texts in econometricsPublisher: Oxford ; New York : Oxford University Press, [2005]Copyright date: ©2005Description: viii, 525 pages : illustrations ; 25 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 0199257191
  • 9780199257195
  • 0199257205
  • 9780199257201
Subject(s): DDC classification:
  • 519.23 22
LOC classification:
  • QA274 .S824 2005
Contents:
General Introduction / N. Shephard -- Model Building / Part I -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / P. K. Clark -- A Study of Daily Sugar Prices, 1961-79 / S. J. Taylor -- / 2. Financial Returns Modelled by the Product of Two Stochastic Processes -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / B. Rosenberg -- 4. The Pricing of Options on Assets with Stochastic Volatilities / J. Hull and A. White -- A Multivariate Latent Factor ARCH Model / F. X. Diebold and M. Nerlove -- / 5. The Dynamics of Exchange Rate Volatility -- 6. Multivariate Stochastic Variance Models / A. C. Harvey, E. Ruiz, and N. Shephard -- A Framework for Volatility Modelling / T. G. Andersen -- / 7. Stochastic Autoregressive Volatility -- 8. Long Memory in Continuous-time Stochastic Volatility Models / F. Comte and E. Renault -- Inference / Part II -- 9. Bayesian Analysis of Stochastic Volatility Models / E. Jacquier, N. G. Polson, and P. E. Rossi -- Likelihood Inference and Comparison with ARCH Models / S. Kim, N. Shephard, and S. Chib -- / 10. Stochastic Volatility -- 11. Estimation of Stochastic Volatility Models with Diagnostics / A. R. Gallant, D. Hsieh, and G. Tauchen -- Option Pricing / Part III -- 12. Pricing Foreign Currency Options with Stochastic Volatility / A. Melino and S. M. Turnbull -- 13. A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options / S. 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 / M. Chernov and E. Ghysels -- Realised Variation / Part IV -- 15. The Distribution of Exchange Rate Volatility / T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys -- 16. Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models / O. E. Barndorff-Nielsen and N. Shephard.
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Holdings
Item type Current library Call number Copy number Status Date due Barcode
Book City Campus City Campus Main Collection 519.23 STO (Browse shelf(Opens below)) 1 Available A416059B

Includes bibliographical references and index.

General Introduction / N. Shephard -- Model Building / Part I -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / P. K. Clark -- A Study of Daily Sugar Prices, 1961-79 / S. J. Taylor -- / 2. Financial Returns Modelled by the Product of Two Stochastic Processes -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / B. Rosenberg -- 4. The Pricing of Options on Assets with Stochastic Volatilities / J. Hull and A. White -- A Multivariate Latent Factor ARCH Model / F. X. Diebold and M. Nerlove -- / 5. The Dynamics of Exchange Rate Volatility -- 6. Multivariate Stochastic Variance Models / A. C. Harvey, E. Ruiz, and N. Shephard -- A Framework for Volatility Modelling / T. G. Andersen -- / 7. Stochastic Autoregressive Volatility -- 8. Long Memory in Continuous-time Stochastic Volatility Models / F. Comte and E. Renault -- Inference / Part II -- 9. Bayesian Analysis of Stochastic Volatility Models / E. Jacquier, N. G. Polson, and P. E. Rossi -- Likelihood Inference and Comparison with ARCH Models / S. Kim, N. Shephard, and S. Chib -- / 10. Stochastic Volatility -- 11. Estimation of Stochastic Volatility Models with Diagnostics / A. R. Gallant, D. Hsieh, and G. Tauchen -- Option Pricing / Part III -- 12. Pricing Foreign Currency Options with Stochastic Volatility / A. Melino and S. M. Turnbull -- 13. A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options / S. 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 / M. Chernov and E. Ghysels -- Realised Variation / Part IV -- 15. The Distribution of Exchange Rate Volatility / T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys -- 16. Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models / O. E. Barndorff-Nielsen and N. Shephard.

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