Stochastic Volatility: Origins and Overview.
In this paper we review the history and recent developments of stochastic volatility, which is the main way financial economists and mathematical finance specialists model time varying volatility.
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Oxford-Man Institute of Quantitative Finance
2008
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| _version_ | 1826271170396160000 |
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| author | Shephard, N Andersen, T |
| author_facet | Shephard, N Andersen, T |
| author_sort | Shephard, N |
| collection | OXFORD |
| description | In this paper we review the history and recent developments of stochastic volatility, which is the main way financial economists and mathematical finance specialists model time varying volatility. |
| first_indexed | 2024-03-06T21:52:26Z |
| format | Working paper |
| id | oxford-uuid:4bc49063-ead5-4a39-8779-8a8a81b04f2c |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T21:52:26Z |
| publishDate | 2008 |
| publisher | Oxford-Man Institute of Quantitative Finance |
| record_format | dspace |
| spelling | oxford-uuid:4bc49063-ead5-4a39-8779-8a8a81b04f2c2022-03-26T15:45:27ZStochastic Volatility: Origins and Overview.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:4bc49063-ead5-4a39-8779-8a8a81b04f2cEnglishDepartment of Economics - ePrintsOxford-Man Institute of Quantitative Finance2008Shephard, NAndersen, TIn this paper we review the history and recent developments of stochastic volatility, which is the main way financial economists and mathematical finance specialists model time varying volatility. |
| spellingShingle | Shephard, N Andersen, T Stochastic Volatility: Origins and Overview. |
| title | Stochastic Volatility: Origins and Overview. |
| title_full | Stochastic Volatility: Origins and Overview. |
| title_fullStr | Stochastic Volatility: Origins and Overview. |
| title_full_unstemmed | Stochastic Volatility: Origins and Overview. |
| title_short | Stochastic Volatility: Origins and Overview. |
| title_sort | stochastic volatility origins and overview |
| work_keys_str_mv | AT shephardn stochasticvolatilityoriginsandoverview AT andersent stochasticvolatilityoriginsandoverview |