Stochastic volatility : selected readings /
Stochastic volatility : selected readings /
edited by Neil Shephard.
- Oxford ; New York : Oxford University Press, 2005.
- 1 online resource (viii, 525 pages) : illustrations.
- Advanced texts in econometrics .
- Advanced texts in econometrics. .
Includes bibliographical references and indexes.
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.
Use copy
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.
Electronic reproduction.
[S.l.] :
HathiTrust Digital Library,
2010.
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.
http://purl.oclc.org/DLF/benchrepro0212
9781429469364 1429469366 9780191531422 0191531421
084576 MIL CRKN/MyiLibrary CostDepend FormOnline AccessRestricted GovNo
2005299546
Stochastic processes.
Finance--Mathematical models.
Money market--Mathematical models.
Capital market--Mathematical models.
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.
Electronic books.
QA274 / .S824 2005eb
519.2/3
Includes bibliographical references and indexes.
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.
Use copy
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.
Electronic reproduction.
[S.l.] :
HathiTrust Digital Library,
2010.
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.
http://purl.oclc.org/DLF/benchrepro0212
9781429469364 1429469366 9780191531422 0191531421
084576 MIL CRKN/MyiLibrary CostDepend FormOnline AccessRestricted GovNo
2005299546
Stochastic processes.
Finance--Mathematical models.
Money market--Mathematical models.
Capital market--Mathematical models.
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.
Electronic books.
QA274 / .S824 2005eb
519.2/3