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 |
| Published: |
University of Oxford
2008
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| _version_ | 1826272863156436992 |
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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 | 2024-03-06T22:19:17Z |
| format | Working paper |
| id | oxford-uuid:5479b1a8-7596-422c-adc4-bb94ba9d4d7f |
| institution | University of Oxford |
| last_indexed | 2024-03-06T22:19:17Z |
| publishDate | 2008 |
| publisher | University of Oxford |
| record_format | dspace |
| spelling | oxford-uuid:5479b1a8-7596-422c-adc4-bb94ba9d4d7f2022-03-26T16:38:09ZStochastic volatility: origins and overviewWorking paperhttp://purl.org/coar/resource_type/c_8042uuid:5479b1a8-7596-422c-adc4-bb94ba9d4d7fSymplectic ElementsBulk import via SwordUniversity of Oxford2008Shephard, 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 |