9780199257201

Stochastic Volatility Selected Readings

by
  • ISBN13:

    9780199257201

  • ISBN10:

    0199257205

  • Format: Paperback
  • Copyright: 2005-05-26
  • Publisher: Oxford University Press

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Supplemental Materials

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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

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