Stochastic Volatility
Selected Readings
Published on 10. March 2005
Book
Paperback/Softback
536 pages
978-0-19-925720-1 (ISBN)
Description
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.
Reviews / Votes
This volume represents an invaluable surveyon the state-of-the-art of SV modelling in finance. Quite simply, this volume is a must-have for anyone dealing with volatility modelling Giuseppe Cavaliere, The Economic JournalMore details
Series
Language
English
Place of publication
Oxford
United Kingdom
Target group
Professional and scholarly
Illustrations
numerous figures and tables
Dimensions
Height: 234 mm
Width: 156 mm
Thickness: 29 mm
Weight
805 gr
ISBN-13
978-0-19-925720-1 (9780199257201)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Person
Neil Shephard is Professor of Economics and Official Fellow in Economics, Nuffield College, at the University of Oxford. He has also taught at the London School of Economics. He has published widely, is on the Editorial Board of the Review of Economic Studies, and is Associate Editor of Econometrica.
Content
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 Modelling ; 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