Stochastic Volatility : Selected Readings.
Title:
Stochastic Volatility : Selected Readings.
Author:
Shephard, Neil.
ISBN:
9780191531422
Personal Author:
Physical Description:
1 online resource (534 pages)
Series:
Advanced Texts in Econometrics
Contents:
Contents -- List of Contributors -- 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 Realized Exchange Rate Volatility -- 16. Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models -- Author Index -- A -- B -- C -- D -- E -- F -- G -- H -- I -- J -- K -- L -- M -- N -- O -- P -- R -- S -- T -- U -- V -- W -- X -- Y -- Z -- Subject Index -- A -- B -- C -- D -- E -- F -- G -- H -- I -- J -- K -- L -- M -- N -- O -- P -- Q -- R -- S -- T -- V.
Abstract:
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 Prices, 1961-7, S. J. Taylor. 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices, B. Rosenberg. 4. The Pricing of Options on Assets with Stochastic Volatilities, J. Hull and A. White. 5. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model, F. X. Diebold and M. Nerlove. 6. Multivariate Stochastic Variance Models. 7. Stochastic Autoregressive Volatility: A Framework for Volatility Modelling, T. G. Andersen. 8. Long Memory in Continuous-time Stochastic Volatility Models, F. Comte and E. RenaultPart II: Inference. 9. Bayesian Analysis of Stochastic Volatility Models, E. Jacquier, N. G. Polson, and P. E. Rossi. 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models, S. Kim, N. Shephard, and S. Chib. 11. Estimation of Stochastic Volatility Models with Diagnostics, A. R. Gallant, D. Hsieh, and G. Tauchen. Part III: Option Pricing. 12. Pricing Foreign Currency Options with Stochastic Volatility, A. Melino and S. M. Turnbull. 13. A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options, S. 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, M. Chernov and E. Ghysels. Part IV: Realised Variation. 15. The Distribution of Exchange Rate Volatility, T.G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys. 16. Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models, O. E. Barndorff-Nielsen and N.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
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Electronic Access:
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