Stochastic volatility: selected readings
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Oxford [u.a.]
Oxford University Press
2005
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Advanced texts in econometrics
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VIII, 525 S. |
| ISBN: | 0199257205 0199257191 |
Internformat
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| 650 | 4 | |a Finance |x Mathematical models | |
| 650 | 4 | |a Money market |x Mathematical models | |
| 650 | 4 | |a Stochastic processes | |
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Datensatz im Suchindex
| _version_ | 1804129630139973632 |
|---|---|
| adam_text | CONTENTS LIST OF CONTRIBUTORS VII GENERAL INTRODUCTION 1 PART I. MODEL
BUILDING 35 1. A SUBORDINATED STOCHASTIC PROCESS MODEL WITH FINITE
VARIANCE FOR SPECULATIVE PRICES 37 PETER K CLARK 2. FINANCIAL RETURNS
MODELLED BY THE PRODUCT OF TWO STOCHASTIC PROCESSES*A STUDY OF DAILY
SUGAR PRICES, 1961*79 60 STEPHEN J. TAYLOR 3. THE BEHAVIOR OF RANDOM
VARIABLES WITH NONSTATIONARY VARIANCE AND THE DISTRIBUTION OF SECURITY
PRICES 83 BARR ROSENBERG 4. THE PRICING OF OPTIONS ON ASSETS WITH
STOCHASTIC VOLATILITIES 109 JOHN HULL AND ALAN WHITE 5. THE DYNAMICS OF
EXCHANGE RATE VOLATILITY: A MULTIVARIATE LATENT FACTOR ARCH MODEL 130
FRANCIS X. DIEBOLD AND MARC NERLOVE 6. MULTIVARIATE STOCHASTIC VARIANCE
MODELS 156 ANDREW HARVEY, ESTHER RUIZ AND NEIL SHEPHARD 7. STOCHASTIC
AUTOREGRESSIVE VOLATILITY: A FRAMEWORK FOR VOLATILITY MODELING 177
TORBEN G. ANDERSEN 8. LONG MEMORY IN CONTINUOUS-TIME STOCHASTIC
VOLATILITY MODELS 209 FABIENNE COMTE AND ERIC RENAULT PART II. INFERENCE
245 9. BAYESIAN ANALYSIS OF STOCHASTIC VOLATILITY MODELS 247 ERIC
JACQUIER, NICHOLAS G. POLSON AND PETER E. ROSSI 10. STOCHASTIC
VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS 283
SANGJOON KIM, NEIL SHEPHARD AND SIDDHARTHA CHIB 11. ESTIMATION OF
STOCHASTIC VOLATILITY MODELS WITH DIAGNOSTICS 323 A. RONALD GALLANT,
DAVID HSIEH AND GEORGE TAUCHEN PART III. OPTION PRICING 355 12. PRICING
FOREIGN CURRENCY OPTIONS WITH STOCHASTIC VOLATILITY 357 ANGELO MELINO
AND STUART M. TURNBULL 13. A CLOSED-FORM SOLUTION FOR OPTIONS WITH
STOCHASTIC VOLATILITY WITH APPLICATIONS TO BOND AND CURRENCY OPTIONS 382
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 MIKHAIL CHERNOV AND ERIC GHYSELS PART IV. REALISED
VARIATION 449 15. THE DISTRIBUTION OF REALIZED EXCHANGE RATE VOLATILITY
451 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 OLE E. BARNDORFF-NIELSEN AND
NEIL SHEPHARD AUTHOR INDEX 515 SUBJECT INDEX 523
|
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| illustrated | Not Illustrated |
| indexdate | 2024-07-09T19:08:11Z |
| institution | BVB |
| isbn | 0199257205 0199257191 |
| language | English |
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| physical | VIII, 525 S. |
| publishDate | 2005 |
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| publisher | Oxford University Press |
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| series2 | Advanced texts in econometrics |
| spelling | Stochastic volatility selected readings ed. by Neil Shephard 1. publ. Oxford [u.a.] Oxford University Press 2005 VIII, 525 S. txt rdacontent n rdamedia nc rdacarrier Advanced texts in econometrics Beweeglijkheid gtt Econometrische analyse gtt Finances - Modèles mathématiques Marché financier - Modèles mathématiques Marché monétaire - Modèles mathématiques Portfolio-theorie gtt Processus stochastiques Stochastische modellen gtt Mathematisches Modell Capital market Mathematical models Finance Mathematical models Money market Mathematical models Stochastic processes Volatilität (DE-588)4268390-7 gnd rswk-swf Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Stochastisches Modell (DE-588)4057633-4 s Volatilität (DE-588)4268390-7 s DE-604 Shephard, Neil Sonstige oth OEBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010055482&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Stochastic volatility selected readings Beweeglijkheid gtt Econometrische analyse gtt Finances - Modèles mathématiques Marché financier - Modèles mathématiques Marché monétaire - Modèles mathématiques Portfolio-theorie gtt Processus stochastiques Stochastische modellen gtt Mathematisches Modell Capital market Mathematical models Finance Mathematical models Money market Mathematical models Stochastic processes Volatilität (DE-588)4268390-7 gnd Stochastisches Modell (DE-588)4057633-4 gnd |
| subject_GND | (DE-588)4268390-7 (DE-588)4057633-4 (DE-588)4143413-4 |
| title | Stochastic volatility selected readings |
| title_auth | Stochastic volatility selected readings |
| title_exact_search | Stochastic volatility selected readings |
| title_full | Stochastic volatility selected readings ed. by Neil Shephard |
| title_fullStr | Stochastic volatility selected readings ed. by Neil Shephard |
| title_full_unstemmed | Stochastic volatility selected readings ed. by Neil Shephard |
| title_short | Stochastic volatility |
| title_sort | stochastic volatility selected readings |
| title_sub | selected readings |
| topic | Beweeglijkheid gtt Econometrische analyse gtt Finances - Modèles mathématiques Marché financier - Modèles mathématiques Marché monétaire - Modèles mathématiques Portfolio-theorie gtt Processus stochastiques Stochastische modellen gtt Mathematisches Modell Capital market Mathematical models Finance Mathematical models Money market Mathematical models Stochastic processes Volatilität (DE-588)4268390-7 gnd Stochastisches Modell (DE-588)4057633-4 gnd |
| topic_facet | Beweeglijkheid Econometrische analyse Finances - Modèles mathématiques Marché financier - Modèles mathématiques Marché monétaire - Modèles mathématiques Portfolio-theorie Processus stochastiques Stochastische modellen Mathematisches Modell Capital market Mathematical models Finance Mathematical models Money market Mathematical models Stochastic processes Volatilität Stochastisches Modell Aufsatzsammlung |
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