STOCHASTICVOLATILITY
SelectedReadings
Editedby
NEILSHEPHARD

Contents
ListofContributors vii
GeneralIntroduction 1
PartI.Modelbuilding 35
1.ASubordinatedStochasticProcessModelwithFiniteVariance
forSpeculativePrices 37
PeterK.Clark
2.FinancialReturnsModelledbytheProductofTwoStochastic
Processes!aAStudyofDailySugarPrices,1961¨C79
StephenJ.Taylor
3.TheBehaviorofRandomVariableswithNonstationary
VarianceandtheDistributionofSecurityPrices83
BarrRosenberg
4.ThePricingofOptionsonAssetswithStochasticVolatilities109
JohnHullandAlanWhite
5.TheDynamicsofExchangeRateVolatility:
AMultivariateLatentFactorArchModel130
FrancisX.DieboldandMarcNerlove
6.MultivariateStochasticVarianceModels156
AndrewHarvey,EstherRuizandNeilShephard
7.StochasticAutoregressiveVolatility:AFrameworkfor
VolatilityModeling 177
TorbenG.Andersen
8.LongMemoryinContinuous-timeStochasticVolatilityModels209
FabienneComteandEricRenault
PartII.Inference 245
9.BayesianAnalysisofStochasticVolatilityModels247
EricJacquier,NicholasG.PolsonandPeterE.Rossi
10.StochasticVolatility:LikelihoodInferenceand
ComparisonwithARCHModels283
SangjoonKim,NeilShephardandSiddharthaChib

vi Contents
11.EstimationofStochasticVolatilityModelswithDiagnostics323
A.RonaldGallant,DavidHsiehandGeorgeTauchen
PartIII.Optionpricing 355
12.PricingForeignCurrencyOptionswithStochasticVolatility357
AngeloMelinoandStuartM.Turnbull
13.AClosed-FormSolutionforOptionswithStochastic
VolatilitywithApplicationstoBondandCurrencyOptions382
StevenL.Heston
14.AStudyTowardsaUni?edApproachtotheJointEstimationof
ObjectiveandRiskNeutralMeasuresforthePurposeof
OptionsValuation 398
MikhailChernovandEricGhysels
PartIV.Realisedvariation 449
15.TheDistributionofRealizedExchangeRateVolatility451
TorbenG.Andersen,TimBollerslev,FrancisX.Diebold
andPaulLabys
16.EconometricAnalysisofRealizedVolatilityanditsuse
inEstimatingStochasticVolatilityModels480
OleE.Barndorff-NielsenandNeilShephard
AuthorIndex 515
SubjectIndex 523