Neil Shephard

Stochastic Volatility

Herausgeber: Shephard, Neil

• Broschiertes Buch

Produktbeschreibung

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. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

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Produktdetails

• Verlag: OUP Oxford
• Seitenzahl: 536
• Erscheinungstermin: 10. März 2005
• Englisch
• Abmessung: 234mm x 156mm x 29mm
• Gewicht: 805g
• ISBN-13: 9780199257201
• ISBN-10: 0199257205
• Artikelnr.: 21076684

Autorenporträt

Neil Shephard is Professor of Economics and Official Fellow in Economics, Nuffield College, at the University of Oxford. He has also taught at the London School of Economics. He has published widely, is on the Editorial Board of the Review of Economic Studies, and is Associate Editor of Econometrica.

Inhaltsangabe

* 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