Stochastic Volatility Selected Readings

by Shephard, Neil

• ISBN13: 9780199257195
• ISBN10: 0199257191
• Additional ISBN(s): 9780191531422
• Format: Hardcover
• Copyright: 2005-05-26
• Publisher: Oxford University Press
• More Book Details
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Summary

This title includes the following features: A selection of the key papersin the development of the stochastic volatility field, gathered for the firsttime.; A lengthy introduction provides an overview and context, and connects thepapers with the literature of the field.; Includes Barr Rosenberg's seminalpaper on the behaviour of random variables

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