Stochastic volatility: selected readings
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Oxford
Oxford University Press
2005
|
| Schriftenreihe: | Advanced texts in econometrics
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002 Includes bibliographical references and indexes Part I. Model building -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / Peter K. Clark -- 2. Financial Returns Modelled by the Product of Two Stochastic Processes : A Study of Daily Sugar Prices, 1961-79 / Stephen J. Taylor -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / Barr Rosenberg -- 4. The Pricing of Options on Assets with Stochastic Volatilities / John Hull and Alan White -- 5. The Dynamics of Exchange Rate Volatility : A Multivariate Latent Factor Arch Model / Francis X. Diebold and Marc Nerlove -- 6. Multivariate Stochastic Variance Models / Andrew Harvey, Esther Ruiz and Neil Shephard -- 7. Stochastic Autoregressive Volatility : A Framework for Volatility Modeling / Torben G. Andersen -- 8. Long Memory in Continuous-time Stochastic Volatility Models / Fabienne Comte and Eric Renault -- Part II. Inference -- - 9. Bayesian Analysis of Stochastic Volatility Models / Eric Jacquier, Nicholas G. Polson and Peter E. Rossi -- 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / Sangjoon Kim, Neil Shephard and Siddhartha Chib -- 11. Estimation of Stochastic Volatility Models with Diagnostics / A. Ronald Gallant, David Hsieh and George Tauchen -- Part III. Option pricing -- 12. Pricing Foreign Currency Options with Stochastic Volatility / Angelo Melino and Stuart M. Turnbull -- 13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / 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 / Mikhail Chernov and Eric Ghysels -- Part IV. Realised variation -- 15. The Distribution of Realized Exchange Rate Volatility / Torben G. Andersen ... [et al.] -- - 16. Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / Ole E. Barndorff-Nielsen and Neil Shephard |
| Beschreibung: | 1 Online-Ressource (viii, 525 p.) |
| ISBN: | 9781429469364 1429469366 9780199257195 |
Internformat
MARC
| LEADER | 00000nmm a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV042966680 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 151030s2005 |||| o||u| ||||||eng d | ||
| 020 | |a 9781429469364 |c electronic bk. |9 978-1-4294-6936-4 | ||
| 020 | |a 1429469366 |c electronic bk. |9 1-4294-6936-6 | ||
| 020 | |a 9780199257195 |9 978-0-19-925719-5 | ||
| 035 | |a (OCoLC)132690934 | ||
| 035 | |a (DE-599)BVBBV042966680 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-1046 |a DE-1047 | ||
| 082 | 0 | |a 519.2/3 |2 22 | |
| 084 | |a QH 300 |0 (DE-625)141566: |2 rvk | ||
| 245 | 1 | 0 | |a Stochastic volatility |b selected readings |c edited by Neil Shephard |
| 264 | 1 | |a Oxford |b Oxford University Press |c 2005 | |
| 300 | |a 1 Online-Ressource (viii, 525 p.) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Advanced texts in econometrics | |
| 500 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002 | ||
| 500 | |a Includes bibliographical references and indexes | ||
| 500 | |a Part I. Model building -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / Peter K. Clark -- 2. Financial Returns Modelled by the Product of Two Stochastic Processes : A Study of Daily Sugar Prices, 1961-79 / Stephen J. Taylor -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / Barr Rosenberg -- 4. The Pricing of Options on Assets with Stochastic Volatilities / John Hull and Alan White -- 5. The Dynamics of Exchange Rate Volatility : A Multivariate Latent Factor Arch Model / Francis X. Diebold and Marc Nerlove -- 6. Multivariate Stochastic Variance Models / Andrew Harvey, Esther Ruiz and Neil Shephard -- 7. Stochastic Autoregressive Volatility : A Framework for Volatility Modeling / Torben G. Andersen -- 8. Long Memory in Continuous-time Stochastic Volatility Models / Fabienne Comte and Eric Renault -- Part II. Inference -- | ||
| 500 | |a - 9. Bayesian Analysis of Stochastic Volatility Models / Eric Jacquier, Nicholas G. Polson and Peter E. Rossi -- 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / Sangjoon Kim, Neil Shephard and Siddhartha Chib -- 11. Estimation of Stochastic Volatility Models with Diagnostics / A. Ronald Gallant, David Hsieh and George Tauchen -- Part III. Option pricing -- 12. Pricing Foreign Currency Options with Stochastic Volatility / Angelo Melino and Stuart M. Turnbull -- 13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / 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 / Mikhail Chernov and Eric Ghysels -- Part IV. Realised variation -- 15. The Distribution of Realized Exchange Rate Volatility / Torben G. Andersen ... [et al.] -- | ||
| 500 | |a - 16. Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / Ole E. Barndorff-Nielsen and Neil Shephard | ||
| 650 | 4 | |a Finances / Modèles mathématiques | |
| 650 | 4 | |a Processus stochastiques | |
| 650 | 4 | |a Marché monétaire / Modèles mathématiques | |
| 650 | 4 | |a Marché financier / Modèles mathématiques | |
| 650 | 7 | |a MATHEMATICS / Probability & Statistics / Stochastic Processes |2 bisacsh | |
| 650 | 7 | |a Stochastische modellen |2 gtt | |
| 650 | 7 | |a Beweeglijkheid |2 gtt | |
| 650 | 7 | |a Econometrische analyse |2 gtt | |
| 650 | 7 | |a Portfolio-theorie |2 gtt | |
| 650 | 7 | |a Capital market / Mathematical models |2 fast | |
| 650 | 7 | |a Finance / Mathematical models |2 fast | |
| 650 | 7 | |a Money market / Mathematical models |2 fast | |
| 650 | 7 | |a Stochastic processes |2 fast | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Stochastic processes | |
| 650 | 4 | |a Finance |x Mathematical models | |
| 650 | 4 | |a Money market |x Mathematical models | |
| 650 | 4 | |a Capital market |x Mathematical models | |
| 650 | 0 | 7 | |a Volatilität |0 (DE-588)4268390-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Stochastisches Modell |0 (DE-588)4057633-4 |2 gnd |9 rswk-swf |
| 655 | 7 | |8 1\p |0 (DE-588)4143413-4 |a Aufsatzsammlung |2 gnd-content | |
| 689 | 0 | 0 | |a Stochastisches Modell |0 (DE-588)4057633-4 |D s |
| 689 | 0 | 1 | |a Volatilität |0 (DE-588)4268390-7 |D s |
| 689 | 0 | |8 2\p |5 DE-604 | |
| 700 | 1 | |a Shephard, Neil |e Sonstige |4 oth | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe, Paperback |z 0-19-925720-5 |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe, Hardcover |z 0-19-925719-1 |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe, Paperback |z 978-0-19-925720-1 |
| 856 | 4 | 0 | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=191268 |x Aggregator |3 Volltext |
| 912 | |a ZDB-4-EBA |a ZDB-4-EBU | ||
| 940 | 1 | |q FAW_PDA_EBA | |
| 940 | 1 | |q FLA_PDA_EBU | |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-028392547 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 883 | 1 | |8 2\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
Datensatz im Suchindex
| _version_ | 1804175293247651840 |
|---|---|
| any_adam_object | |
| building | Verbundindex |
| bvnumber | BV042966680 |
| classification_rvk | QH 300 |
| collection | ZDB-4-EBA ZDB-4-EBU |
| ctrlnum | (OCoLC)132690934 (DE-599)BVBBV042966680 |
| dewey-full | 519.2/3 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.2/3 |
| dewey-search | 519.2/3 |
| dewey-sort | 3519.2 13 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>05206nmm a2200769zc 4500</leader><controlfield tag="001">BV042966680</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">151030s2005 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781429469364</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">978-1-4294-6936-4</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1429469366</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">1-4294-6936-6</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780199257195</subfield><subfield code="9">978-0-19-925719-5</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)132690934</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV042966680</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-1046</subfield><subfield code="a">DE-1047</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">519.2/3</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 300</subfield><subfield code="0">(DE-625)141566:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Stochastic volatility</subfield><subfield code="b">selected readings</subfield><subfield code="c">edited by Neil Shephard</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Oxford</subfield><subfield code="b">Oxford University Press</subfield><subfield code="c">2005</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (viii, 525 p.)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Advanced texts in econometrics</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references and indexes</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Part I. Model building -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / Peter K. Clark -- 2. Financial Returns Modelled by the Product of Two Stochastic Processes : A Study of Daily Sugar Prices, 1961-79 / Stephen J. Taylor -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / Barr Rosenberg -- 4. The Pricing of Options on Assets with Stochastic Volatilities / John Hull and Alan White -- 5. The Dynamics of Exchange Rate Volatility : A Multivariate Latent Factor Arch Model / Francis X. Diebold and Marc Nerlove -- 6. Multivariate Stochastic Variance Models / Andrew Harvey, Esther Ruiz and Neil Shephard -- 7. Stochastic Autoregressive Volatility : A Framework for Volatility Modeling / Torben G. Andersen -- 8. Long Memory in Continuous-time Stochastic Volatility Models / Fabienne Comte and Eric Renault -- Part II. Inference -- </subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a"> - 9. Bayesian Analysis of Stochastic Volatility Models / Eric Jacquier, Nicholas G. Polson and Peter E. Rossi -- 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / Sangjoon Kim, Neil Shephard and Siddhartha Chib -- 11. Estimation of Stochastic Volatility Models with Diagnostics / A. Ronald Gallant, David Hsieh and George Tauchen -- Part III. Option pricing -- 12. Pricing Foreign Currency Options with Stochastic Volatility / Angelo Melino and Stuart M. Turnbull -- 13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / 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 / Mikhail Chernov and Eric Ghysels -- Part IV. Realised variation -- 15. The Distribution of Realized Exchange Rate Volatility / Torben G. Andersen ... [et al.] -- </subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a"> - 16. Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / Ole E. Barndorff-Nielsen and Neil Shephard</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finances / Modèles mathématiques</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Processus stochastiques</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Marché monétaire / Modèles mathématiques</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Marché financier / Modèles mathématiques</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">MATHEMATICS / Probability & Statistics / Stochastic Processes</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Stochastische modellen</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Beweeglijkheid</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Econometrische analyse</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Portfolio-theorie</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Capital market / Mathematical models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Finance / Mathematical models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Money market / Mathematical models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Stochastic processes</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Stochastic processes</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Money market</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Capital market</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Volatilität</subfield><subfield code="0">(DE-588)4268390-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Stochastisches Modell</subfield><subfield code="0">(DE-588)4057633-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="8">1\p</subfield><subfield code="0">(DE-588)4143413-4</subfield><subfield code="a">Aufsatzsammlung</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Stochastisches Modell</subfield><subfield code="0">(DE-588)4057633-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Volatilität</subfield><subfield code="0">(DE-588)4268390-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="8">2\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Shephard, Neil</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe, Paperback</subfield><subfield code="z">0-19-925720-5</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe, Hardcover</subfield><subfield code="z">0-19-925719-1</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe, Paperback</subfield><subfield code="z">978-0-19-925720-1</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=191268</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBA</subfield><subfield code="a">ZDB-4-EBU</subfield></datafield><datafield tag="940" ind1="1" ind2=" "><subfield code="q">FAW_PDA_EBA</subfield></datafield><datafield tag="940" ind1="1" ind2=" "><subfield code="q">FLA_PDA_EBU</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-028392547</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">2\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield></record></collection> |
| genre | 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content |
| genre_facet | Aufsatzsammlung |
| id | DE-604.BV042966680 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:13:59Z |
| institution | BVB |
| isbn | 9781429469364 1429469366 9780199257195 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028392547 |
| oclc_num | 132690934 |
| open_access_boolean | |
| owner | DE-1046 DE-1047 |
| owner_facet | DE-1046 DE-1047 |
| physical | 1 Online-Ressource (viii, 525 p.) |
| psigel | ZDB-4-EBA ZDB-4-EBU FAW_PDA_EBA FLA_PDA_EBU |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | Oxford University Press |
| record_format | marc |
| series2 | Advanced texts in econometrics |
| spelling | Stochastic volatility selected readings edited by Neil Shephard Oxford Oxford University Press 2005 1 Online-Ressource (viii, 525 p.) txt rdacontent c rdamedia cr rdacarrier Advanced texts in econometrics Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002 Includes bibliographical references and indexes Part I. Model building -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / Peter K. Clark -- 2. Financial Returns Modelled by the Product of Two Stochastic Processes : A Study of Daily Sugar Prices, 1961-79 / Stephen J. Taylor -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / Barr Rosenberg -- 4. The Pricing of Options on Assets with Stochastic Volatilities / John Hull and Alan White -- 5. The Dynamics of Exchange Rate Volatility : A Multivariate Latent Factor Arch Model / Francis X. Diebold and Marc Nerlove -- 6. Multivariate Stochastic Variance Models / Andrew Harvey, Esther Ruiz and Neil Shephard -- 7. Stochastic Autoregressive Volatility : A Framework for Volatility Modeling / Torben G. Andersen -- 8. Long Memory in Continuous-time Stochastic Volatility Models / Fabienne Comte and Eric Renault -- Part II. Inference -- - 9. Bayesian Analysis of Stochastic Volatility Models / Eric Jacquier, Nicholas G. Polson and Peter E. Rossi -- 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / Sangjoon Kim, Neil Shephard and Siddhartha Chib -- 11. Estimation of Stochastic Volatility Models with Diagnostics / A. Ronald Gallant, David Hsieh and George Tauchen -- Part III. Option pricing -- 12. Pricing Foreign Currency Options with Stochastic Volatility / Angelo Melino and Stuart M. Turnbull -- 13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / 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 / Mikhail Chernov and Eric Ghysels -- Part IV. Realised variation -- 15. The Distribution of Realized Exchange Rate Volatility / Torben G. Andersen ... [et al.] -- - 16. Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / Ole E. Barndorff-Nielsen and Neil Shephard Finances / Modèles mathématiques Processus stochastiques Marché monétaire / Modèles mathématiques Marché financier / Modèles mathématiques MATHEMATICS / Probability & Statistics / Stochastic Processes bisacsh Stochastische modellen gtt Beweeglijkheid gtt Econometrische analyse gtt Portfolio-theorie gtt Capital market / Mathematical models fast Finance / Mathematical models fast Money market / Mathematical models fast Stochastic processes fast Mathematisches Modell Stochastic processes Finance Mathematical models Money market Mathematical models Capital market Mathematical models Volatilität (DE-588)4268390-7 gnd rswk-swf Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content Stochastisches Modell (DE-588)4057633-4 s Volatilität (DE-588)4268390-7 s 2\p DE-604 Shephard, Neil Sonstige oth Erscheint auch als Druck-Ausgabe, Paperback 0-19-925720-5 Erscheint auch als Druck-Ausgabe, Hardcover 0-19-925719-1 Erscheint auch als Druck-Ausgabe, Paperback 978-0-19-925720-1 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=191268 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Stochastic volatility selected readings Finances / Modèles mathématiques Processus stochastiques Marché monétaire / Modèles mathématiques Marché financier / Modèles mathématiques MATHEMATICS / Probability & Statistics / Stochastic Processes bisacsh Stochastische modellen gtt Beweeglijkheid gtt Econometrische analyse gtt Portfolio-theorie gtt Capital market / Mathematical models fast Finance / Mathematical models fast Money market / Mathematical models fast Stochastic processes fast Mathematisches Modell Stochastic processes Finance Mathematical models Money market Mathematical models Capital market Mathematical models 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 edited by Neil Shephard |
| title_fullStr | Stochastic volatility selected readings edited by Neil Shephard |
| title_full_unstemmed | Stochastic volatility selected readings edited by Neil Shephard |
| title_short | Stochastic volatility |
| title_sort | stochastic volatility selected readings |
| title_sub | selected readings |
| topic | Finances / Modèles mathématiques Processus stochastiques Marché monétaire / Modèles mathématiques Marché financier / Modèles mathématiques MATHEMATICS / Probability & Statistics / Stochastic Processes bisacsh Stochastische modellen gtt Beweeglijkheid gtt Econometrische analyse gtt Portfolio-theorie gtt Capital market / Mathematical models fast Finance / Mathematical models fast Money market / Mathematical models fast Stochastic processes fast Mathematisches Modell Stochastic processes Finance Mathematical models Money market Mathematical models Capital market Mathematical models Volatilität (DE-588)4268390-7 gnd Stochastisches Modell (DE-588)4057633-4 gnd |
| topic_facet | Finances / Modèles mathématiques Processus stochastiques Marché monétaire / Modèles mathématiques Marché financier / Modèles mathématiques MATHEMATICS / Probability & Statistics / Stochastic Processes Stochastische modellen Beweeglijkheid Econometrische analyse Portfolio-theorie Capital market / Mathematical models Finance / Mathematical models Money market / Mathematical models Stochastic processes Mathematisches Modell Finance Mathematical models Money market Mathematical models Capital market Mathematical models Volatilität Stochastisches Modell Aufsatzsammlung |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=191268 |
| work_keys_str_mv | AT shephardneil stochasticvolatilityselectedreadings |