Stochastic volatility : selected readings

著者

• Shephard, Neil

書誌事項

Stochastic volatility : selected readings

edited by Neil Shephard

（Advanced texts in econometrics）

Oxford University Press, 2005

• : hbk
• : pbk

注記

Includes bibliographical references and indexes

内容説明・目次

内容説明

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.

目次

• General Introduction
• PART I: MODEL BUILDING
• 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-79
• 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices
• 4. The Pricing of Options on Assets with Stochastic Volatilities
• 5. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model
• 6. Multivariate Stochastic Variance Models
• 7. Stochastic Autoregressive Volatility: A Framework for Volatility Modeling
• 8. Long Memory in Continuous-time Stochastic Volatility Models
• PART II: INFERENCE
• 9. Bayesian Analysis of Stochastic Volatility Models
• 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH models
• 11. Estimation of Stochastic Volatility Models with Diagnostics
• PART III: OPTION PRICING
• 12. Pricing Foreign Currency Options with Stochastic Volatility
• 13. A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options
• 14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation
• PART IV: REALISED VARIATION
• 15. The Distribution of Exchange Rate Volatility
• 16. Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models
• Index

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA71605785
• ISBN:
  • 0199257191
  • 0199257205
• 出版国コード: uk
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Oxford
• ページ数/冊数: viii, 525 p.
• 大きさ: 24 cm
• 親書誌ID:
  • BA12388775