Stochastic Volatility: Selected Readings

Paperback (Print)
Buy New
Buy New from BN.com
$57.91
Used and New from Other Sellers
Used and New from Other Sellers
from $9.68
Usually ships in 1-2 business days
(Save 85%)
Other sellers (Paperback)
  • All (9) from $9.68   
  • New (4) from $55.94   
  • Used (5) from $0.00   

Overview

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.

Read More Show Less

Product Details

  • ISBN-13: 9780199257201
  • Publisher: Oxford University Press, USA
  • Publication date: 3/15/2005
  • Series: Advanced Texts in Econometrics Series
  • Pages: 534
  • Product dimensions: 9.20 (w) x 6.10 (h) x 1.30 (d)

Table of Contents

1 A subordinated stochastic process model with finite variance for speculative prices 37
2 Financial returns modelled by the product of two stochastic processes - a study of daily sugar prices, 1961-79 60
3 The behavior of random variables with nonstationary variance and the distribution of security prices 83
4 The pricing of options on assets with stochastic volatilities 109
5 The dynamics of exchange rate volatility : a multivariate latent factor arch model 130
6 Multivariate stochastic variance models 156
7 Stochastic autoregressive volatility : a framework for volatility modeling 177
8 Long memory in continuous-time stochastic volatility models 209
9 Bayesian analysis of stochastic volatility models 247
10 Stochastic volatility : likelihood inference and comparison with ARCH models 283
11 Estimation of stochastic volatility models with diagnostics 323
12 Pricing foreign currency options with stochastic volatility 357
13 A closed-form solution for options with stochastic volatility with applications to bond and currency options 382
14 A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation 398
15 The distribution of realized exchange rate volatility 451
16 Econometric analysis of realized volatility and its use in estimating stochastic volatility models 480
Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star

(0)

4 Star

(0)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)