02702nam 2200661 a 450 991045231120332120200520144314.00-19-153142-11-280-84576-71-4294-6936-6(CKB)1000000000473137(EBL)422944(OCoLC)476260646(SSID)ssj0000251592(PQKBManifestationID)11206765(PQKBTitleCode)TC0000251592(PQKBWorkID)10169852(PQKB)11149667(MiAaPQ)EBC422944(Au-PeEL)EBL422944(CaPaEBR)ebr10233598(CaONFJC)MIL84576(EXLCZ)99100000000047313720050808d2005 uy 0engurcn|||||||||txtccrStochastic volatility[electronic resource] selected readings /edited by Neil ShephardOxford ;New York Oxford University Pressc20051 online resource (534 p.)Advanced texts in econometricsDescription based upon print version of record.0-19-925720-5 0-19-925719-1 Includes bibliographical references and indexes.pt. 1. Model building -- pt. 2. Inference -- pt. 3. Option pricing -- pt. 4. Realised variation.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 SugarAdvanced texts in econometrics.Stochastic processesFinanceMathematical modelsMoney marketMathematical modelsCapital marketMathematical modelsElectronic books.Stochastic processes.FinanceMathematical models.Money marketMathematical models.Capital marketMathematical models.519.2/3Shephard Neil961118MiAaPQMiAaPQMiAaPQBOOK9910452311203321Stochastic volatility2179015UNINA