Stochastic Volatility
selected readings
$134.85
- Paperback
536 pages
- Release Date
10 March 2005
Summary
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, blendingto produce methods and models…
Book Details
| ISBN-13: | 9780199257201 |
|---|---|
| ISBN-10: | 0199257205 |
| Series: | Advanced Texts in Econometrics |
| Author: | Shephard |
| Publisher: | Oxford University Press |
| Imprint: | Oxford University Press |
| Format: | Paperback |
| Number of Pages: | 536 |
| Release Date: | 10 March 2005 |
| Weight: | 799g |
| Dimensions: | 234mm x 156mm x 28mm |
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What They're Saying
Critics Review
This volume represents an invaluable surveyon the state-of-the-art of SV modelling in finance. Quite simply, this volume is a must-have for anyone dealing with volatility modelling
This volume represents an invaluable surveyon the state-of-the-art of SV modelling in finance. Quite simply, this volume is a must-have for anyone dealing with volatility modelling Giuseppe Cavaliere, The Economic Journal
About The Author
Shephard
Neil Shephard is Professor of Economics and Official Fellow in Economics, Nuffield College, at the University of Oxford. He has also taught at the London School of Economics. He has published widely, is on the Editorial Board of the Review of Economic Studies, and is Associate Editor of Econometrica.
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