4 options
Stochastic volatility : selected readings / edited by Neil Shephard.
- Format:
- Book
- Series:
- Advanced texts in econometrics.
- Oxford scholarship online.
- Advanced texts in econometrics
- Oxford scholarship online
- Language:
- English
- Subjects (All):
- Stochastic analysis.
- Finance--Econometric models.
- Finance.
- Physical Description:
- 1 online resource (534 p.)
- Place of Publication:
- Oxford : Oxford University Press , 2023.
- Language Note:
- English
- 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 work brings together some of the main papers that have influenced this field, and shows that the development of this subject has been highly multidisciplinary.
- Contents:
- pt. 1. Model building
- pt. 2. Inference
- pt. 3. Option pricing
- pt. 4. Realised variation.
- Notes:
- Includes bibliographical references and indexes.
- Previously issued in print: 2005.
- Derived record based on print version record and publisher information.
- ISBN:
- 1-383-03979-8
- 0-19-153142-1
- 1-280-84576-7
- 1-4294-6936-6
- OCLC:
- 476260646
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