Stochastic volatility [[electronic resource] ] : selected readings / / edited by Neil Shephard
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| Titolo: |
Stochastic volatility [[electronic resource] ] : selected readings / / edited by Neil Shephard
|
| Pubblicazione: | Oxford ; ; New York, : Oxford University Press, c2005 |
| Descrizione fisica: | 1 online resource (534 p.) |
| Disciplina: | 519.2/3 |
| Soggetto topico: | Stochastic processes |
| Finance - Mathematical models | |
| Money market - Mathematical models | |
| Capital market - Mathematical models | |
| Soggetto genere / forma: | Electronic books. |
| Altri autori: |
ShephardNeil
|
| 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 |
| Titolo autorizzato: | Stochastic volatility |
| ISBN: | 0-19-153142-1 |
| 1-280-84576-7 | |
| 1-4294-6936-6 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910452311203321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Advanced texts in econometrics.