|
|
|
|
|
|
|
|
1. |
Record Nr. |
UNINA9910828496103321 |
|
|
Titolo |
Stochastic volatility [[electronic resource] ] : selected readings / / edited by Neil Shephard |
|
|
|
|
|
|
|
Pubbl/distr/stampa |
|
|
Oxford ; ; New York, : Oxford University Press, c2005 |
|
|
|
|
|
|
|
ISBN |
|
1-383-03979-8 |
0-19-153142-1 |
1-280-84576-7 |
1-4294-6936-6 |
|
|
|
|
|
|
|
|
Descrizione fisica |
|
1 online resource (534 p.) |
|
|
|
|
|
|
Collana |
|
Advanced texts in econometrics |
|
|
|
|
|
|
Altri autori (Persone) |
|
|
|
|
|
|
Disciplina |
|
|
|
|
|
|
Soggetti |
|
Stochastic processes |
Finance - Mathematical models |
Money market - Mathematical models |
Capital market - Mathematical models |
|
|
|
|
|
|
|
|
Lingua di pubblicazione |
|
|
|
|
|
|
Formato |
Materiale a stampa |
|
|
|
|
|
Livello bibliografico |
Monografia |
|
|
|
|
|
Note generali |
|
Description based upon print version of record. |
|
|
|
|
|
|
Nota di bibliografia |
|
Includes bibliographical references and indexes. |
|
|
|
|
|
|
Nota di contenuto |
|
pt. 1. Model building -- pt. 2. Inference -- pt. 3. Option pricing -- pt. 4. Realised variation. |
|
|
|
|
|
|
|
|
Sommario/riassunto |
|
Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P. K. Clark). 2. Financial Returns Modeled by the Product of Two Stochastic Processes: A Study of Daily Sugar |
|
|
|
|
|
|
|