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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 Visualizza cluster
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
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  Visualizza cluster
ISBN: 1-383-03979-8
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.: 9910828496103321
Lo trovi qui: Univ. Federico II
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Serie: Advanced texts in econometrics.