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Stochastic Volatility: Selected Readings(Advanced Texts in Econometrics)

Stochastic Volatility: Selected Readings(Advanced Texts in Econometrics)

          
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About the Book

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.

Table of Contents:
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


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Product Details
  • ISBN-13: 9780199257201
  • Publisher: Oxford University Press
  • Publisher Imprint: Oxford University Press
  • Height: 234 mm
  • No of Pages: 536
  • Series Title: Advanced Texts in Econometrics
  • Sub Title: Selected Readings
  • Width: 156 mm
  • ISBN-10: 0199257205
  • Publisher Date: 10 Mar 2005
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Spine Width: 28 mm
  • Weight: 793 gr


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Stochastic Volatility: Selected Readings(Advanced Texts in Econometrics)
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