Stochastic volatility : selected readings

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.

著者

Shephard Neil

出版社

Oxford University Press

発売日

2005年1月発売

価格

価格未定（税込・書誌情報提供：openBD）

ISBN

9780199257195

発売済み