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.

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí: Shephard, N, Andersen, T
Formáid: Working paper
Teanga:English
Foilsithe / Cruthaithe: Oxford-Man Institute of Quantitative Finance 2008