Stochastic Volatility : Selected Readings
Book Details
Format
Paperback / Softback
Book Series
Advanced Texts in Econometrics
ISBN-10
0199257205
ISBN-13
9780199257201
Publisher
Oxford University Press
Imprint
Oxford University Press
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Mar 10th, 2005
Print length
536 Pages
Weight
772 grams
Dimensions
23.60 x 15.80 x 3.00 cms
Ksh 12,850.00
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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 the field of the econometrics of stochastic volatility.
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 the field of the econometrics of stochastic volatility, and shows that the development of this subject has been highly multidisciplinary, with results drawn from financial economics, probability theory, and econometrics, blending to produce methods and models that have aided our understanding of the realistic pricing of options, efficient asset allocation, and accurate risk assessment. A lengthy introduction by the editor connects the papers with the literature.
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