Stochastic Volatility in Financial Markets

Crossing the Bridge to Continuous Time

Häftad, Engelska, 2012

AvAntonio Mele,Fabio Fornari

1 409 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.

Finns i fler format (1)

Inbunden

1 429 kr

Skickas inom 10-15 vardagar

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts.

Produktinformation

Utgivningsdatum2012-10-26
Mått155 x 235 x 10 mm
Vikt260 g
FormatHäftad
SpråkEngelska
SerieDynamic Modeling and Econometrics in Economics and Finance
Antal sidor147
FörlagSpringer-Verlag New York Inc.
ISBN9781461370451

Tillhör följande kategorier

Finansiering inom Ekonomi och Ledarskap
Nationalekonomi inom Ekonomi och Ledarskap
Mikroekonomi inom Ekonomi och Ledarskap

1 — Introduction.- 1.1 Background and aims of the monograph.- 1.2 Empirical models in discrete time.- 1.3 Theoretical issues.- 1.4 Statistical inference.- 1.5 Plan.- 2 — Continuous time behavior of non linear ARCH models.- 2.1 Introduction.- 2.2 Approximation results for a general class of non linear ARCH models.- 2.3 Interpretation of the moment conditions.- 2.4 Effectiveness of ARCH as diffusion approximations of theoretical models.- 2.5 Limiting behavior of the error process.- 2.6 Continuous time behavior of the volatility switching models.- Appendix A: proofs on convergence issues.- Appendix B: proofs on distributional issues.- Appendix C.- 3 — Continuous time stochastic volatility option pricing: foundational issues.- 3.1 Introduction.- 3.2 The reference model.- 3.3 Applications to stochastic volatility.- 3.4 On mean self-financing strategies and the minimal martingale measure.- Appendix: relative entropy and the minimal martingale measure.- 4 — Models of the term structure with stochastic volatility.- 4.1 Introduction.- 4.2 From the one factor model to the modelling of conditional heteroskedasticity.- 4.3 Searching for affinity.- 4.4 Early equilibrium-based models.- 4.5 A class of equilibrium models of the term structure with stochastic volatility.- 4.6 Concluding remarks: taking account of nonlinearities.- 5 — Formulating, solving and estimating models of the term structure using ARCH models as diffusion approximations.- 5.1 Introduction.- 5.2 Specification of the theoretical models.- 5.3 Econometric strategy.- 5.4 The pure numerical solution of the theoretical models.- 5.5 An illustrative example.- Appendix: a solution method based on the approach of iterated approximations.- References.

Mer från samma författare

Django 2 by Example

Antonio Mele, Antonio Melé

Häftad

819 kr

Django 4 By Example

Antonio Melé

Häftad

799 kr

Django 5 By Example

Antonio Melé

Häftad

779 kr

Django 3 By Example

Antonio Mele, Antonio Melé

Häftad

819 kr

Price of Fixed Income Market Volatility

Antonio Mele, Yoshiki Obayashi

Inbunden

889 kr

Price of Fixed Income Market Volatility

Antonio Mele, Yoshiki Obayashi

Häftad

829 kr

Mer från samma serie

Optimization in Economics and Finance

Bruce D. Craven, Sardar M. N. Islam, Bruce D Craven, Sardar M N Islam

Inbunden

1 369 kr

Modern Linear and Nonlinear Econometrics

Joseph Plasmans

Inbunden

2 029 kr

Dynamic Modeling of Monetary and Fiscal Cooperation Among Nations

Joseph E.J.K Plasmans, Jacob Engwerda, Bas van Aarle, Giovanni di Bartolomeo, Tomasz Michalak, Joseph E. J. K. Plasmans, Joseph E J K Plasmans, Bas Van Aarle, Giovanni Di Bartolomeo

Inbunden

2 089 kr