Stochastic Volatility

Erscheinungsjahr 2005
ISBN: 978-0-19-925720-1
Verlag: OUP Oxford

Buch, Englisch, 536 Seiten, Format (B × H): 156 mm x 234 mm, Gewicht: 805 g

Reihe: Advanced Texts in Econometrics

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.

Autoren/Hrsg.

Shephard, Neil

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Geldwirtschaft, Währungspolitik
• Wirtschaftswissenschaften Wirtschaftswissenschaften Wirtschaftswissenschaften: Allgemeines
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationaler Handel

Über Autor(innen)

Neil Shephard is Professor of Economics and Official Fellow in Economics, Nuffield College, at the University of Oxford. He has also taught at the London School of Economics. He has published widely, is on the Editorial Board of the Review of Economic Studies, and is Associate Editor of Econometrica.