|
|
|
|
Stochastic Volatility
Selected Readings
Neil Shephard
536 pages
|
numerous figures and tables
|
234x156mm
978-0-19-925720-1
|
Paperback
|
10 March 2005
|
|
This item is printed to order. Items which are printed to order are normally despatched and charged within 5-10 days.
|
|
|
- A selection of the key papers in the development of the stochastic volatility field, gathered for the first time.
- A lengthy introduction provides an overview and context, and connects the papers with the literature of the field.
- Includes Barr Rosenberg's seminal paper on the behaviour of random variables
Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This book brings together some of the main papers that have influenced the field of the econometrics of stochastic volatility, and shows that the development of this subject has been highly multidisciplinary, with results drawn from financial economics, probability theory, and econometrics, blending to produce methods and models that have aided our understanding of the realistic pricing of options, efficient asset allocation, and accurate risk assessment. A lengthy
introduction by the editor connects the papers with the literature.Readership: Academic researchers and graduate students in econometrics and finance; economists and econometricians, and professionals in the financial sector.
|
|
|
Neil Shephard, Professor of Economics and Fellow of Nuffield College, University of Oxford Contributors:
Contributors: Torben Andersen, Northwestern University; Ole E. Barndorff-Nielsen, University of Aarhus; Tim Bollerslev, Duke University; Mikhail Chernov; Siddhartha Chib, Washington University in St. Louis; Peter Clark, University of California, Davis; Fabienne Comte, Université René Descartes- Paris 5; Frank Diebold, University of Pennsylvania; Dean Foster, University of Pennsylvania; A Ronald Gallant, Duke University; Eric Ghysels, University of North Carolina - Chapel Hill; Andrew Harvey, University of Cambridge; Steven Heston, University
of Maryland; David Hsieh, Duke University; John Hull, University of Toronto; Eric Jacquier, H.E.C. MONTREAL; Sangjoon Kim, RBS Securities Japan Limited; Paul Labys, Charles River Associates; Angelo Melino, University of Toronto; Daniel Nelson; Marc Nerlove, University of Maryland; Nicholas Polson, University of Chicago; Eric Renault, University of Montréal; Peter Rossi, University of Chicago; Esther Ruiz, Universidad Carlos III de Madrid; Barr Rosenberg, AXA Rosenberg Investment Management; Neil Shephard, Nuffield College, University of Oxford; Stephen Taylor, Lancaster University; George Tauchen, Duke University; Stuart Turnbull, University of Houston; Alan White, University of Toronto.
|
|
|
"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 Journal
|
|
|
N. Shephard: General Introduction
Part I: Model Building
1: P. K. Clark: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
2: S. J. Taylor: Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-79
3: B. Rosenberg: The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices
4: J. Hull and A. White: The Pricing of Options on Assets with Stochastic Volatilities
5: F. X. Diebold and M. Nerlove: The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model
6: A. C. Harvey, E. Ruiz, and N. Shephard: Multivariate Stochastic Variance Models
7: T. G. Andersen: Stochastic Autoregressive Volatility: A Framework for Volatility Modelling
8: F. Comte and E. Renault: Long Memory in Continuous-time Stochastic Volatility Models
Part II: Inference
9: E. Jacquier, N. G. Polson, and P. E. Rossi: Bayesian Analysis of Stochastic Volatility Models
10: S. Kim, N. Shephard, and S. Chib: Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
11: A. R. Gallant, D. Hsieh, and G. Tauchen: Estimation of Stochastic Volatility Models with Diagnostics
Part III: Option Pricing
12: A. Melino and S. M. Turnbull: Pricing Foreign Currency Options with Stochastic Volatility
13: S. L. Heston: A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options
14: M. Chernov and E. Ghysels: 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: T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys: The Distribution of Exchange Rate Volatility
16: O. E. Barndorff-Nielsen and N. Shephard: Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models
Index
|
|
|
|
|
|
|
|
|
The specification in this catalogue, including without limitation price, format, extent, number of illustrations, and month of publication, was as accurate as possible at the time the catalogue was compiled. Occasionally, due to the nature of some contractual restrictions, we are unable to ship a specific product to a particular territory. Jacket images are provisional and liable to change before publication.
|
|
