Stochastic Volatility: Selected Readings

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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.
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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
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