Stochastic volatility : selected readings /
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...
| Други автори: | Shephard, Neil. |
|---|---|
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
Oxford ; New York :
Oxford University Press,
2005.
|
| Серия: |
Advanced texts in econometrics.
|
| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=191268 |
| Подобни документи: |
Print version::
Stochastic volatility. |
Съдържание:
- 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.