Some recent developments in stochastic volatility modelling
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Publication:4646765
DOI10.1088/1469-7688/2/1/301zbMath1405.91583OpenAlexW2150976467MaRDI QIDQ4646765
Neil Shephard, Elisa Nicolato, Ole Eiler Barndorff-Nielsen
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.nuff.ox.ac.uk/Economics/papers/2001/w25/qf.pdf
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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