Stochastic volatility : selected readings

Abstract

General Introduction PART I: MODEL BUILDING 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-79 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices 4. The Pricing of Options on Assets with Stochastic Volatilities 5. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model 6. Multivariate Stochastic Variance Models 7. Stochastic Autoregressive Volatility: A Framework for Volatility Modelling 8. Long Memory in Continuous-time Stochastic Volatility Models PART II: INFERENCE 9. Bayesian Analysis of Stochastic Volatility Models 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 11. Estimation of Stochastic Volatility Models with Diagnostics PART III: OPTION PRICING 12. Pricing Foreign Currency Options with Stochastic Volatility 13. A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options 14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation PART IV: REALISED VARIATION 15. The Distribution of Exchange Rate Volatility 16. Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models Index

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 333 citations exist upstream.