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.

Manylion Llyfryddiaeth
Prif Awduron:	Shephard, N, Andersen, T
Fformat:	Working paper
Iaith:	English
Cyhoeddwyd:	Oxford-Man Institute of Quantitative Finance 2008

Eitemau Tebyg

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Higher order variation and stochastic volatility models.
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Power and bipower variation with stochastic volatility and jumps.
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Power and Bipower Variation with Stochastic Volatility and Jumps.
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Realised power variation and stochastic volatility models.
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