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Author:   Neil Shephard (, Professor of Economics and Fellow of Nuffield College, University of Oxford)
Publisher:   Oxford University Press
Imprint:   Oxford University Press
Dimensions:   Width: 15.60cm , Height: 2.80cm , Length: 23.40cm
Weight:   0.799kg
ISBN:  

9780199257201

ISBN 10:   0199257205
Pages:   536
Publication Date:   10 March 2005
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   To order  
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Table of Contents

N. Shephard: General Introduction Part I: Model Building 1: P. K. Clark: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 2: S. J. Taylor: Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-79 3: B. Rosenberg: The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices 4: J. Hull and A. White: The Pricing of Options on Assets with Stochastic Volatilities 5: F. X. Diebold and M. Nerlove: The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model 6: A. C. Harvey, E. Ruiz, and N. Shephard: Multivariate Stochastic Variance Models 7: T. G. Andersen: Stochastic Autoregressive Volatility: A Framework for Volatility Modelling 8: F. Comte and E. Renault: Long Memory in Continuous-time Stochastic Volatility Models Part II: Inference 9: E. Jacquier, N. G. Polson, and P. E. Rossi: Bayesian Analysis of Stochastic Volatility Models 10: S. Kim, N. Shephard, and S. Chib: Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 11: A. R. Gallant, D. Hsieh, and G. Tauchen: Estimation of Stochastic Volatility Models with Diagnostics Part III: Option Pricing 12: A. Melino and S. M. Turnbull: Pricing Foreign Currency Options with Stochastic Volatility 13: S. L. Heston: A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options 14: M. Chernov and E. Ghysels: 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: T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys: The Distribution of Exchange Rate Volatility 16: O. E. Barndorff-Nielsen and N. Shephard: Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models Index

Reviews

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

Author Information

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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