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Stochastic Volatility
Selected Readings

Edited by Neil Shephard

Price: £32.50 (paper)
ISBN-13: 978-0-19-925720-1
Publication date: 10 March 2005
534 pages, 43 line illus., 234x156 mm
Series: Advanced Texts in Econometrics
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Reviews

'This volume represents an invaluable surveyon the state-of-the-art of SV modelling in finance. Quite simply, this volume is a must-have for anyone dealing with volatility modelling' - Giuseppe Cavaliere, The Economic Journal

Description

A selection of the key papers in the development of the stochastic volatility field, gathered for the first time.
A lengthy introduction provides an overview and context, and connects the papers with the literature of the field.
Includes Barr Rosenberg's seminal paper on the behaviour of random variables

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 asset allocation, and accurate risk assessment. A lengthy introduction by the editor connects the papers with the literature.

Readership: Academic researchers and graduate students in econometrics and finance, as well as many practitioners in the financial sector.

Contents

General Introduction Neil Shephard

Part I: Model Building

1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices , P. K. Clark

2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices 1961-7 , S. J. Taylor

3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices , B. Rosenberg

4. The Pricing of Options on Assets with Stochastic Volatilities , J. Hull and A. White

5. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model , F. X. Diebold and M. Nerlove

6. Multivariate Stochastic Variance Models , A.C. Harvey, E. Ruiz and N. Shephard)

7. Stochastic Autoregressive Volatility: A Framework for Volatility Modelling , T.G. Anderson

8. Long Memory in Continuous-time Stochastic Volatility Models , F. Comte and E. Renault

Part II: Inference

9. Bayesian Analysis of Stochastic Volatility Models , E. Jacquier, N. G. Polson, and P. E. Rossi

10 Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models. S. Kim, N. Shephard, and S. Chib

11. Estimation of Stochastic Volatility Models with Diagnostics , A. R. Gallant, D. Hsieh, and G. Tauchen

Part III. Option Pricing

12. Pricing Foreign Currency Options with Stochastic Volatility , A. Melino and S. M. Turnbull

13. A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options , S. L. Heston

14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for Purpose of Options Valuation , M. Chernov and E. Ghysels

Part IV. Realised Variation

15. The Distribution of Exchange Rate Volatility , T.G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys

16. Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models , O. E. Labys Barndorff-Nielsen and N. Shephard

Authors, editors, and contributors

Edited by Neil Shephard, Professorial Fellow, Nuffield College, Oxford University

Links to web resources and related information

More in the same subject area:
Monetary economics
International economics
Financial crises & disasters
Financial services industry

The specification in this catalogue, including without limitation price, format, extent, number of illustrations, and month of publication, was as accurate as possible at the time the catalogue was compiled. Occasionally, due to the nature of some contractual restrictions, we are unable to ship a specific product to a particular territory. Jacket images are provisional and liable to change before publication.

Stochastic VolatilitySelected Readings

Stochastic Volatility
Selected Readings