Stochastic volatility selected readings First Edition by Neil Shephard ISBN 978-0199257201 0199257205

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Product details: 

ISBN 10:  0199257205

ISBN 13: 978-0199257201

Author: 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.

About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.

Table of contents: 

Part I. Model building

1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

Peter K. Clark

2. Financial Returns Modelled by the Product of Two Stochastic Processes-A Study of Daily Sugar Prices, 1961-79 Stephen J. Taylor

3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices Barr Rosenberg

4. The Pricing of Options on Assets with Stochastic Volatilities John Hull and Alan White

5. The Dynamics of Exchange Rate Volatility:

A Multivariate Latent Factor Arch Model

Francis X. Diebold and Marc Nerlove

6. Multivariate Stochastic Variance Models

Andrew Harvey, Esther Ruiz and Neil Shephard

7. Stochastic Autoregressive Volatility: A Framework for Volatility Modeling

Torben G. Andersen

8. Long Memory in Continuous-time Stochastic Volatility Models Fabienne Comte and Eric Renault

Part II. Inference

9. Bayesian Analysis of Stochastic Volatility Models Eric Jacquier, Nicholas G. Polson and Peter E. Rossi

10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

Sangjoon Kim, Neil Shephard and Siddhartha Chib

11. Estimation of Stochastic Volatility Models with Diagnostics A. Ronald Gallant, David Hsieh and George Tauchen

Part III. Option pricing

12. Pricing Foreign Currency Options with Stochastic Volatility Angelo Melino and Stuart M. Turnbull

13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options Steven L. Heston

14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation

Mikhail Chernov and Eric Ghysels

Part IV. Realised variation

15. The Distribution of Realized Exchange Rate Volatility Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys

16. Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models

Ole E. Barndorff-Nielsen and Neil Shephard

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