Contents
List of Contributors vii
General Introduction 1
Part I. Model building 35
1. A Subordinated Stochastic Process Model with Finite Variance
for Speculative Prices 37
Peter K. Clark
2. Financial Returns Modelled by the Product of Two Stochastic
Processes—A Study of Daily Sugar Prices, 1961–79 60
Stephen J. Taylor
3. The Behavior of Random Variables with Nonstationary
Variance and the Distribution of Security Prices 83
Barr Rosenberg
4. The Pricing of Options on Assets with Stochastic Volatilities 109
John Hull and Alan White
5. The Dynamics of Exchange Rate Volatility:
A Multivariate Latent Factor Arch Model 130
Francis X. Diebold and Marc Nerlove
6. Multivariate Stochastic Variance Models 156
Andrew Harvey, Esther Ruiz and Neil Shephard
7. Stochastic Autoregressive Volatility: A Framework for
Volatility Modeling 177
Torben G. Andersen
8. Long Memory in Continuous-time Stochastic Volatility Models 209
Fabienne Comte and Eric Renault
Part II. Inference 245
9. Bayesian Analysis of Stochastic Volatility Models 247
Eric Jacquier, Nicholas G. Polson and Peter E. Rossi
10. Stochastic Volatility: Likelihood Inference and
Comparison with ARCH Models 283
Sangjoon Kim, Neil Shephard and Siddhartha Chib
11. Estimation of Stochastic Volatility Models with Diagnostics 323
A. Ronald Gallant, David Hsieh and George Tauchen
Part III. Option pricing 355
12. Pricing Foreign Currency Options with Stochastic Volatility 357
Angelo Melino and Stuart M. Turnbull
13. A Closed-Form Solution for Options with Stochastic
Volatility with Applications to Bond and Currency Options 382
Steven L. Heston
14. A Study Towards a Unified Approach to the Joint Estimation of
Objective and Risk Neutral Measures for the Purpose of
Options Valuation 398
Mikhail Chernov and Eric Ghysels
Part IV. Realised variation 449
15. The Distribution of Realized Exchange Rate Volatility 451
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold
and Paul Labys
16. Econometric Analysis of Realized Volatility and its use
in Estimating Stochastic Volatility Models 480
Ole E. Barndorff-Nielsen and Neil Shephard
Author Index 515
Subject Index 523 |
