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Stochastic volatility. Selected readings. (English) Zbl 1076.60005
Advanced Texts in Econometrics. Oxford: Oxford University Press (ISBN 0-19-925720-5/pbk; 0-19-925719-1/hbk). viii, 525 p. (2005).

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The articles of this volume will be reviewed individually.
Indexed articles:
Clark, Peter K., A subordinated stochastic process model with finite variance for speculative prices, 37-59 [Zbl 1126.91339]
Taylor, Stephen J., Financial returns modelled by the product of two stochastic processes – a study of daily sugar prices, 1961–79, 60-82 [Zbl 1126.91377]
Rosenberg, Barr, The behavior of random variables with nonstationary variance and the distribution of security prices, 83-108 [Zbl 1126.91341]
Hull, John; White, Alan, The pricing of options on assets with stochastic volatilities, 109-129 [Zbl 1126.91369]
Diebold, Francis X.; Nerlove, Marc, The dynamics of exchange rate volatility: a multivariate latent factor arch model, 130-155 [Zbl 1126.91365]
Harvey, Andrew; Ruiz, Esther; Shephard, Neil, Multivariate stochastic variance models, 156-176 [Zbl 1127.91337]
Andersen, Torben G., Stochastic autoregressive volatility: a framework for volatility modeling, 177-208 [Zbl 1182.91207]
Comte, Fabienne; Renault, Eric, Long memory in continuous-time stochastic volatility models, 209-243 [Zbl 1182.91169]
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E., Bayesian analysis of stochastic volatility models, 247-282 [Zbl 1082.62103]
Kim, Sangjoon; Shephard, Neil; Chib, Siddhartha, Stochastic volatility: likelihood inference and comparison with ARCH models, 283-322 [Zbl 1082.62104]
Gallant, A. Ronald; Hsieh, David; Tauchen, George, Estimation of stochastic volatility models with diagnostics, 323-354 [Zbl 1082.62102]
Melino, Angelo; Turnbull, Stuart M., Pricing foreign currency options with stochastic volatility, 357-381 [Zbl 1126.91374]
Heston, Steven L., A closed-form solution for options with stochastic volatility with applications to bond and currency options, 382-397 [Zbl 1126.91368]
Chernov, Mikhail; Ghysels, Eric, A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation, 398-447 [Zbl 1126.91363]
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; Labys, Paul, The distribution of realized exchange rate volatility, 451-479 [Zbl 1126.91354]
Barndorff-Nielsen, Ole E.; Shephard, Neil, Econometric analysis of realized volatility and its use in estimating stochastic volatility models, 480-514 [Zbl 1126.91357]
Reviewer: Reviewer (Berlin)

MSC:
60-06 Proceedings, conferences, collections, etc. pertaining to probability theory
62-06 Proceedings, conferences, collections, etc. pertaining to statistics
91-06 Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance
00B15 Collections of articles of miscellaneous specific interest
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