Check nearby libraries
Buy this book
![Loading indicator](/images/ajax-loader-bar.gif)
"In this book, the authors emphasize the use of the popular ARCH models in formulating, estimating, and testing the continuous time stochastic volatility models favored in the theoretical literature. The primary motivation of this research project is the result that although ARCH processes are stochastic difference equations, they can be thought of as reasonable approximations to the solutions of stochastic differential equations as the sampling frequency gets higher and higher.
The authors make use of simulation based econometric methods and show how to test whether the approximation and filtering results for ARCH models are indeed valid. The statistical methodology used rests on the indirect inference principle, and is applied to a new class of fully articulated continuous time equilibrium models for the determination of the term structure of interest rates with stochastic volatility. This book also covers other research areas that are generated by the presence of stochastic volatility, such as market incompleteness, or imperfect hedging strategies that are optimal according to certain criteria.
It also discusses some of the techniques that are typically needed to master and use the various setups that are built up through the book, such as the numerical integration of partial differential equations that typically arise in finance, or the convergence of difference equations to stochastic differential equations.".
"The book is suitable for graduate students and scholars in financial markets econometrics and financial economics, but last year undergraduates will also find parts of this book useful reading."--BOOK JACKET.
Check nearby libraries
Buy this book
![Loading indicator](/images/ajax-loader-bar.gif)
Subjects
Capital market, Econometric models, Finance, Stochastic analysis, Investments & Securities - General, Econometrics, Investment Finance, Mathematical Models In Economics, Business & Economics, Business / Economics / Finance, Business/Economics, General, Economics - General, Business & Economics / Econometrics, Business & Economics : Economics - General, Medical : GeneralShowing 5 featured editions. View all 5 editions?
Edition | Availability |
---|---|
1
Stochastic Volatility in Financial Markets
Oct 26, 2012, Springer, Brand: Springer
paperback
1461370450 9781461370451
|
zzzz
Libraries near you:
WorldCat
|
2
Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time
2012, Springer London, Limited
in English
1461545331 9781461545330
|
zzzz
Libraries near you:
WorldCat
|
3
Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (Dynamic Modeling and Econometrics in Economics and Finance)
May 31, 2000, Springer
Hardcover
in English
- 1 edition
0792378423 9780792378426
|
aaaa
Libraries near you:
WorldCat
|
4 |
zzzz
Libraries near you:
WorldCat
|
5
Stochastic volatility in financial markets: crossing the bridge to continuous time
2000, Kluwer Academic Publishers
in English
0792378423 9780792378426
|
zzzz
Libraries near you:
WorldCat
|
Book Details
First Sentence
"Financial returns, albeit unpredictable according to the definition of Sims (1984), display both temporal dependency in their second order moments and heavy-peaked and tailed distributions."
The Physical Object
ID Numbers
Community Reviews (0)
Feedback?History
- Created April 29, 2008
- 6 revisions
Wikipedia citation
×CloseCopy and paste this code into your Wikipedia page. Need help?
July 31, 2019 | Edited by MARC Bot | associate edition with work OL8362533W |
August 6, 2010 | Edited by IdentifierBot | added LibraryThing ID |
April 14, 2010 | Edited by Open Library Bot | Linked existing covers to the edition. |
September 8, 2008 | Edited by RenameBot | fix author name |
April 29, 2008 | Created by an anonymous user | Imported from amazon.com record |