Articles liés à Volatility: New Estimation Techniques for Pricing Derivative...

Volatility: New Estimation Techniques for Pricing Derivatives - Couverture souple

 
9781899332465: Volatility: New Estimation Techniques for Pricing Derivatives
Couverture souple
ISBN 10 : 1899332464 ISBN 13 : 9781899332465
Editeur : Risk Books, 1998

Synopsis

This text contains a single source of knowledge designed to resolve any question in the area of stochastic volatility. Over 30 articles are presented in seven sections, addressing issues from making GARCH work to the future of stochastic volatility option pricing research. Chapters cover such subjects as: modelling stochastic volatility; multivariate GARCH modelling ofasset returns; ARCH modelling in finance; the impact of firm specific news on implied volatilities; the informational content of implied volatility; and implied volatility skews and stock index skewness and Kurtosis implied by S&P 500 index option prices. The articles were selected and introduced by leading theoretician, Robert Jarrow.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Risk Books
Date d'édition
1998
Langue
anglais
ISBN 10 
1899332464
ISBN 13 
9781899332465
Reliure
Broché
Nombre de pages
356
Éditeur
Jarrow Robert A.
Coordonnées du fabricant
non disponible
Personne responsable
non disponible