Intro -- Contents -- List of Contributors -- General Introduction -- Part I. Model building -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices -- 2. Financial Returns Modelled by the Product of Two Stochastic Processes-A Study of Daily Sugar Prices, 1961-79 -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices -- 4. The Pricing of Options on Assets with Stochastic Volatilities -- 5. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model -- 6. Multivariate Stochastic Variance Models -- 7. Stochastic Autoregressive Volatility: A Framework for Volatility Modeling -- 8. Long Memory in Continuous-time Stochastic Volatility Models -- Part II. Inference -- 9. Bayesian Analysis of Stochastic Volatility Models -- 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models -- 11. Estimation of Stochastic Volatility Models with Diagnostics -- Part III. Option pricing -- 12. Pricing Foreign Currency Options with Stochastic Volatility -- 13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options -- 14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation -- Part IV. Realised variation -- 15. The Distribution of Realized Exchange Rate Volatility -- 16. Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models -- Author Index -- A -- B -- C -- D -- E -- F -- G -- H -- I -- J -- K -- L -- M -- N -- O -- P -- R -- S -- T -- U -- V -- W -- X -- Y -- Z -- Subject Index -- A -- B -- C -- D -- E -- F -- G -- H -- I -- J -- K -- L -- M -- N -- O -- P -- Q -- R -- S -- T -- V.

Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This book brings together some of the main papers that have influenced this exciting new field, and shows that the development of this subject has been highly multidisciplinary, and has helped to produce methods and models for the realistic pricing of options, efficient asset allocation, and accuraterisk assessment. A lengthy introduction by the editor, a leader in the field, connects the papers with the literature.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2018. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.