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Book synopsis

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.

Book details

Book category Books in English Economics, finance, business & management Economics Macroeconomics

• Full title: Stochastic Volatility
• Subtitle: Selected Readings
• Author: Neil Shephard
• Language: English
• Binding: Paperback
• Number of pages: 536
• EAN: 9780199257201
• ISBN: 0199257205
• ID: 04530593
• Publisher: Oxford University Press
• Weight: 772 g
• Dimensions: 236 × 158 × 30 mm
• Date of publishing: 10. March 2005

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