Stochastic Volatility: Selected Readings (Advanced Texts in Econometrics) - Softcover

Softcover

ISBN 10: 0199257205 ISBN 13: 9780199257201

Verlag: Oxford University Press, USA, 2005

Inhaltsangabe

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Críticas

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)

Reseña del editor

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.

Details zur Ausgabe

• Verlag: Oxford University Press, USA
• Erscheinungsdatum: 2005
• ISBN 10: 0199257205
• ISBN 13: 9780199257201
• Einband: Tapa blanda
• Sprache: Englisch
• Anzahl der Seiten: 536
• Herausgeber: Shephard Neil