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Stochastic volatility : selected readings / edited by Neil Shephard.

Contributor(s): Material type: TextTextSeries: Advanced texts in econometricsPublication details: Oxford ; New York : Oxford University Press, 2005.Description: 1 online resource (viii, 525 pages) : illustrationsContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781429469364
  • 1429469366
  • 9780191531422
  • 0191531421
Subject(s): Genre/Form: Additional physical formats: Print version:: Stochastic volatility.DDC classification:
  • 519.2/3 22
LOC classification:
  • QA274 .S824 2005eb
Other classification:
  • 85.03
  • 85.33
Online resources:
Contents:
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.
Action note:
  • digitized 2010 HathiTrust Digital Library committed to preserve
Summary: 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.
Holdings
Item type Current library Collection Call number Status Date due Barcode Item holds
eBook eBook e-Library EBSCO Business Available
Total holds: 0

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.

Print version record.

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digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL

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.

Master record variable field(s) change: 050, 082

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