Stochastic Volatility Selected Readings,9780199257201

Stochastic Volatility Selected Readings

by
ISBN13: 9780199257201
ISBN10: 0199257205
Format: Paperback
Pub. Date: 2005-05-26
Publisher(s): Oxford University Press
  • Free Shipping Icon

    This Item Qualifies for Free Shipping!*

    *Excludes marketplace orders.

List Price: $92.96

Buy New

Arriving Soon. Will ship when available.
$88.53
Add to Cart

Rent Textbook

Select for Price
Add to Cart
There was a problem. Please try again later.

Rent Digital

Rent Digital Options
Online:180 Days access
Downloadable:180 Days
$39.99
Online:365 Days access
Downloadable:365 Days
$45.75
Online:1460 Days access
Downloadable:Lifetime Access
$60.99
$47.99
Add to Cart

Used Textbook

We're Sorry
Sold Out

Buy from our Marketplace starting at $66.57

How Marketplace Works:

  • This item is offered by an independent seller and not shipped from our warehouse
  • Item details like edition and cover design may differ from our description; see seller's comments before ordering.
  • Sellers much confirm and ship within two business days; otherwise, the order will be cancelled and refunded.
  • Marketplace purchases cannot be returned to eCampus.com. Contact the seller directly for inquiries; if no response within two days, contact customer service.
  • Additional shipping costs apply to Marketplace purchases. Review shipping costs at checkout.

Summary

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 assetallocation, and accurate risk assessment. A lengthy introduction by the editor connects the papers with the literature.

Table of Contents

List of Contributors vii
General Introduction 1(34)
Part I. Model building 35(210)
1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
37(23)
Peter K. Clark
2. Financial Returns Modelled by the Product of Two Stochastic Processes-A Study of Daily Sugar Prices, 1961-79
60(23)
Stephen J. Taylor
3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices
83(26)
Barr Rosenberg
4. The Pricing of Options on Assets with Stochastic Volatilities
109(21)
John Hull and Alan White
5. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model
130(26)
Francis X. Diebold and Marc Nerlove
6. Multivariate Stochastic Variance Models
156(21)
Andrew Harvey, Esther Ruiz and Neil Shephard
7. Stochastic Autoregressive Volatility: A Framework for Volatility Modeling
177(32)
Torben G. Andersen
8. Long Memory in Continuous-time Stochastic Volatility Models
209(36)
Fabienne Comte and Eric Renault
Part II. Inference 245(110)
9. Bayesian Analysis of Stochastic Volatility Models
247(36)
Eric Jacquier, Nicholas G. Polson and Peter E. Rossi
10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
283(40)
Sangjoon Kim, Neil Shephard and Siddhartha Chib
11. Estimation of Stochastic Volatility Models with Diagnostics
323(32)
A. Ronald Gallant, David Hsieh and George Tauchen
Part III. Option pricing 355(94)
12. Pricing Foreign Currency Options with Stochastic Volatility
357(25)
Angelo Melino and Stuart M. Turnbull
13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
382(16)
Steven 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
398(51)
Mikhail Chernov and Eric Ghysels
Part IV. Realised variation 449(66)
15. The Distribution of Realized Exchange Rate Volatility
451(29)
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys
16. Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models
480(35)
Ole E. Barndorff-Nielsen and Neil Shephard
Author Index 515(8)
Subject Index 523

An electronic version of this book is available through VitalSource.

This book is viewable on PC, Mac, iPhone, iPad, iPod Touch, and most smartphones.

By purchasing, you will be able to view this book online, as well as download it, for the chosen number of days.

Digital License

You are licensing a digital product for a set duration. Durations are set forth in the product description, with "Lifetime" typically meaning five (5) years of online access and permanent download to a supported device. All licenses are non-transferable.

More details can be found here.

A downloadable version of this book is available through the eCampus Reader or compatible Adobe readers.

Applications are available on iOS, Android, PC, Mac, and Windows Mobile platforms.

Please view the compatibility matrix prior to purchase.