Stochastic Volatility Selected Readings

by Shephard, Neil

• ISBN13: 9780199257201
• ISBN10: 0199257205
• eBook ISBN(s): 9780191531422
• Format: Paperback
• Copyright: 2005-05-26
• Publisher: Oxford University Press
• More Book Details

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