Published 2005
“…Collects sixteen of the main papers that have influenced the econometrics of stochastic volatility, which is associated with financial economics and mathematical finance. Papers discuss a
subordinated stochastic process model with finite variance for speculative prices; a study of daily sugar prices, 1961-79; the behavior of random variables with nonstationary variance and the distribution of security prices; the pricing of options on assets with stochastic volatilities; the dynamics of exchange rate volatility; multivariate stochastic variance models; stochastic autoregressive volatility; long memory in continuous-time stochastic volatility models; Bayesian analysis of stochastic volatility models; stochastic volatility, likelihood inference, and a comparison with ARCH models; estimation of stochastic volatility models with diagnostics; pricing foreign currency options with stochastic volatility; a closed-form solution for options with stochastic volatility, with applications to bond and currency options; a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation; the distribution of realized exchange rate volatility; and econometric analysis of realized volatility and its use in estimating stochastic volatility models. …”
Book