Stochastic volatility : selected readings

edited by Neil Shephard

Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P. K. Clark). 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar P

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Year of publication:	c2005
Other Persons:	Shephard, Neil G. (contributor)
Publisher:	Oxford : Oxford University Press
Subject:	Zeitreihenanalyse \| Time series analysis \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Stochastische Analysis \| Kapitalmarkt \| Kreditmarkt \| Geldmarkt \| Ökonometrisches Modell
Description of contents:	Table of Contents [external.dandelon.com] ; Description [zbmath.org]

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Stochastic Volatility : Selected Readings

Erscheint auch als (Druck-Ausgabe):

Shephard, Neil G. *1964-*. Stochastic volatility. - Oxford [u.a.] : Oxford Univ. Press, 2005. - VIII, 525 S.

Persistent link: https://www.econbiz.de/10012685317