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Stochastic Volatility

Name: Stochastic Volatility
Brand: Oxford University Press
SKU: 04530593
Price: 34833 HUF
Availability: InStock
Author: Neil Shephard
ISBN: 9780199257201

Selected Readings

Neil Shephard

Language

English

Book Paperback

Libristo code: 04530593

Publishers Oxford University Press, March 2005

Stochastic volatility is the main concept used in the fields of financial economics and mathematical... Full description

Libristo code: 04530593

237 b

34 833 Ft

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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.