Stochastic Volatility in Financial Markets

Stochastic Volatility in Financial Markets : Crossing the Bridge to Continuous Time

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Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.
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Product details

  • Hardback | 147 pages
  • 162.1 x 240.8 x 15.5mm | 412.78g
  • Dordrecht, Netherlands
  • English
  • 2000 ed.
  • XV, 147 p.
  • 0792378423
  • 9780792378426

Table of contents

List of figures. List of tables. Preface. 1. Introduction. 2. Continuous time behavior of non linear ARCH models. 3. Continuous time stochastic volatility option pricing: foundational issues. 4. Models of the term structure with stochastic volatility. 5. Formulating, solving and estimating models of the term structure using ARCH models as diffusion approximations. References. Index.
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