Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time: 3 - Rilegato

Fornari, Fabio; Mele, Antonio

 
9780792378426: Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time: 3
Rilegato
ISBN 10: 0792378423 ISBN 13: 9780792378426
Casa editrice: Springer-Verlag GmbH, 2000

Sinossi

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Contenuti

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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Springer-Verlag GmbH
Data di pubblicazione
2000
Lingua
Inglese
ISBN 10 
0792378423
ISBN 13 
9780792378426
Rilegatura
Copertina rigida
Numero di pagine
172
Contatto del produttore
non disponibile
Persona responsabile
Springer Nature Customer Service Center GmbH
ProductSafety@springernature.com

Europaplatz 3,69115 Heidelberg, Germany
Heidelberg
69115
Germania

Altre edizioni note dello stesso titolo

9781461370451: Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time: 3

Edizione in evidenza

ISBN 10:  1461370450 ISBN 13:  9781461370451
Casa editrice: Springer, 2012
Brossura