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Stochastic Volatility

Neil Shephard
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      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 toproduce 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.
      Format: CONTRIBUTORS: Neil Shephard EAN: 9780199257201 COUNTRY: United Kingdom PAGES: WEIGHT: 799 g HEIGHT: 234 cm
      PUBLISHED BY: Oxford University Press DATE PUBLISHED: 2005-03-10 CITY: GENRE: BUSINESS & ECONOMICS / Econometrics WIDTH: 156 cm SPINE:

      Book Themes:

      Monetary economics, International economics, Economic and financial crises and disasters, Hospitality and service industries

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      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.
      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 toproduce 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.
      Format: CONTRIBUTORS: Neil Shephard EAN: 9780199257201 COUNTRY: United Kingdom PAGES: WEIGHT: 799 g HEIGHT: 234 cm
      PUBLISHED BY: Oxford University Press DATE PUBLISHED: 2005-03-10 CITY: GENRE: BUSINESS & ECONOMICS / Econometrics WIDTH: 156 cm SPINE:

      Book Themes:

      Monetary economics, International economics, Economic and financial crises and disasters, Hospitality and service industries

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      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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