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
• 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: 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
• Serie: Advanced texts in econometrics.