Stochastic Volatility: Selected Readings - Couverture rigide

Couverture rigide

ISBN 10 : 0199257191 ISBN 13 : 9780199257195

Editeur : Oxford University Press, 2005

Synopsis

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A propos du livre

Présentation de l'éditeur

Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This book brings together some of the main papers that have influenced the field of the econometrics of stochastic volatility, and shows that the development of this subject has been highly multidisciplinary, with results drawn from financial economics, probability theory, and econometrics, blending to produce methods and models that have aided our understanding of the realistic pricing of options, efficient asset allocation, and accurate risk assessment. A lengthy introduction by the editor connects the papers with the literature.

Biographie de l'auteur

Neil Shephard is Professor of Economics and Official Fellow in Economics, Nuffield College, at the University of Oxford. He has also taught at the London School of Economics. He has published widely, is on the Editorial Board of the Review of Economic Studies, and is Associate Editor of Econometrica.

Détails de l'édition

• Éditeur: Oxford University Press
• Date d'édition: 2005
• ISBN 10: 0199257191
• ISBN 13: 9780199257195
• Reliure: Relié
• Langue: anglais
• Nombre de pages: 536
• Éditeur: Shephard