Asset price dynamics, volatility, and prediction / Stephen J. Taylor.

Format:

Book

Author/Creator:

(Stephen J.) Taylor.

Contributor:

Stephen.

Language:

English

Subjects (All):

Capital assets pricing model.

Finance--Mathematical models.

Finance.

Physical Description:

1 online resource (988 p.)

Edition:

Course Book

Place of Publication:

Princeton, N.J. : Princeton University Press, 2007, c2005.

Language Note:

English

Summary:

This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.

Contents:

Frontmatter

Contents

Preface

1. Introduction

Part I. Foundations

2. Prices and Returns

3. Stochastic Processes: Definitions and Examples

4. Stylized Facts for Financial Returns

Part II. Conditional Expected Returns

5. The Variance-Ratio Test of the RandomWalk Hypothesis

6. Further Tests of the RandomWalk Hypothesis

7. Trading Rules and Market Efficiency

Part III. Volatility Processes

8. An Introduction to Volatility

9. ARCH Models: Definitions and Examples

10. ARCH Models: Selection and Likelihood Methods

11. Stochastic Volatility Models

Part IV. High-Frequency Methods

12. High-Frequency Data and Models

Part V. Inferences from Option Prices

13. Continuous-Time Stochastic Processes

14. Option Pricing Formulae

15. Forecasting Volatility

16. Density Prediction for Asset Prices

Symbols

References

Author Index

Subject Index

Notes:

Description based upon print version of record.

Includes bibliographical references (p. [473]-501) and indexes.

ISBN:

9786612992049

9781282992047

128299204X

9781400839254

1400839254

OCLC:

705944547