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Stochastic Volatility : Selected Readings, PDF eBook

Stochastic Volatility : Selected Readings PDF

Edited by Neil Shephard

Part of the Advanced Texts in Econometrics series

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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.

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