Stochastic Volatility in Financial Markets
Crossing the Bridge to Continuous Time
Authors: Mele, Antonio, Fornari, Fabio
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- About this book
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Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.
- Table of contents (5 chapters)
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Introduction
Pages 1-30
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Continuous Time Behavior of Non Linear Arch Models
Pages 31-55
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Continuous Time Stochastic Volatility Option Pricing: Foundational Issues
Pages 57-80
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Models of the Term Structure with Stochastic Volatility
Pages 81-97
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Formulating, Solving and Estimating Models of the Term Structure Using Arch Models as Diffusion Approximations
Pages 99-128
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Table of contents (5 chapters)
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Bibliographic Information
- Bibliographic Information
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- Book Title
- Stochastic Volatility in Financial Markets
- Book Subtitle
- Crossing the Bridge to Continuous Time
- Authors
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- Antonio Mele
- Fabio Fornari
- Series Title
- Dynamic Modeling and Econometrics in Economics and Finance
- Series Volume
- 3
- Copyright
- 2000
- Publisher
- Springer US
- Copyright Holder
- Springer Science+Business Media New York
- eBook ISBN
- 978-1-4615-4533-0
- DOI
- 10.1007/978-1-4615-4533-0
- Hardcover ISBN
- 978-0-7923-7842-6
- Softcover ISBN
- 978-1-4613-7045-1
- Series ISSN
- 1566-0419
- Edition Number
- 1
- Number of Pages
- XV, 147
- Topics
