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.

Bibliografiset tiedot
Päätekijät: Shephard, N, Andersen, T
Aineistotyyppi: Working paper
Kieli:English
Julkaistu: Oxford-Man Institute of Quantitative Finance 2008