Stochastic Volatility: Origins and Overview
From MaRDI portal
Publication:3646956
DOI10.1007/978-3-540-71297-8_10zbMath1178.91233OpenAlexW2130849921MaRDI QIDQ3646956
Torben G. Andersen, Neil Shephard
Publication date: 27 November 2009
Published in: Handbook of Financial Time Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_10
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (14)
Between data cleaning and inference: pre-averaging and robust estimators of the efficient price ⋮ A nonlinear model for long-memory conditional heteroscedasticity ⋮ Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas ⋮ Testing for the number of states in hidden Markov models ⋮ Estimation and forecasting of long memory stochastic volatility models ⋮ An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility ⋮ A flexible predictive density combination for large financial data sets in regular and crisis periods ⋮ GMC/GEL estimation of stochastic volatility models ⋮ Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis ⋮ Computing the CEV option pricing formula using the semiclassical approximation of path integral ⋮ Large deviations of realized volatility ⋮ Scaling and Multiscaling in Financial Series: A Simple Model ⋮ The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails ⋮ Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA
This page was built for publication: Stochastic Volatility: Origins and Overview
