Stochastic volatility : selected readings
著者
書誌事項
Stochastic volatility : selected readings
（Advanced texts in econometrics）
Oxford University Press, 2005
- : hbk
- : pbk
大学図書館所蔵 全33件
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
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