Libri sul tema "Stochastic Volatility"
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Takahashi, Makoto, Yasuhiro Omori, and Toshiaki Watanabe. Stochastic Volatility and Realized Stochastic Volatility Models. Springer Nature Singapore, 2023. http://dx.doi.org/10.1007/978-981-99-0935-3.
Testo completoHafner, Reinhold. Stochastic Implied Volatility. Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-17117-8.
Testo completoNeil, Shephard, ed. Stochastic volatility: Selected readings. Oxford University Press, 2005.
Cerca il testo completoFornari, Fabio, and Antonio Mele. Stochastic Volatility in Financial Markets. Springer US, 2000. http://dx.doi.org/10.1007/978-1-4615-4533-0.
Testo completoHarvey, Andrew. The econometrics of stochastic volatility. London School of Economics Financial Markets Group, 1993.
Cerca il testo completoBishwal, Jaya P. N. Parameter Estimation in Stochastic Volatility Models. Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-03861-7.
Testo completoMelino, Angelo. Pricing foreign currency options with stochastic volatility. Dept. of Economics; Institute for Policy Analysis, University of Toronto, 1988.
Cerca il testo completoHafner, Reinhold. Stochastic implied volatility: A factor-based model. Springer, 2004.
Cerca il testo completoSandmann, G. Maximum likelihood estimation of stochastic volatility models. London School of Economics, Financial Markets Group, 1996.
Cerca il testo completoAït-Sahalia, Yacine. Maximum likelihood estimation of stochastic volatility models. National Bureau of Economic Research, 2004.
Cerca il testo completoMulligan, Casey B. Robust aggregate implications of stochastic discount factor volatility. National Bureau of Economic Research, 2004.
Cerca il testo completoKrichene, Noureddine. Modeling stochastic volatility with application to stock returns. International Monetary Fund, African Department, 2003.
Cerca il testo completoTrolle, Anders B. Unspanned stochastic volatility and the pricing of commodity derivatives. National Bureau of Economic Research, 2006.
Cerca il testo completoAlizadeh, Sassan. High- and low-frequency exchange rate volatility dynamics: Range-based estimation of stochastic volatility models. National Bureau of Economic Research, 2001.
Cerca il testo completoJavaheri, Alireza. Inside volatility filtering: The secrets of skewness. John Wiley & Sons, Inc., 2015.
Cerca il testo completoJavaheri, Alireza. Inside Volatility Arbitrage. John Wiley & Sons, Ltd., 2006.
Cerca il testo completoRobinson, P. M. Nonlinear time series with long memory: A model for stochastic volatility. Suntory and Toyota International Centres for Economics and Related Disciplines, 1997.
Cerca il testo completoAntonio, Mele, ed. Stochastic volatility in financial markets: Crossing the bridge to continuous time. Kluwer Academic Publishers, 2000.
Cerca il testo completoChacko, George. Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets. National Bureau of Economic Research, 1999.
Cerca il testo completoRobinson, Peter M. Nonlinear time series with long memory: A model for stochastic volatility. London School of Economics, Financial Markets Group, 1996.
Cerca il testo completoDufresne, Pierre Collin. Can interest rate volatility be extracted from the cross section of bond yields? an investigation of unspanned stochastic volatility. National Bureau of Economic Research, 2004.
Cerca il testo completoDufresne, Pierre Collin. Can interest rate volatility be extracted from the cross section of bond yields?: An investigation of unspanned stochastic volatility. National Bureau of Economic Research, 2004.
Cerca il testo completoBates, David S. Jumps and stochastic volatility: Exchange rate processes implicit in PHLX Deutschemark options. National Bureau of Economic Research, 1993.
Cerca il testo completoNunes, João Pedro Vidal. Exponential-affine diffusion term structure models: Dimension, time-homogeneity, and stochastic volatility. typescript, 2000.
Cerca il testo completoGuichard, R. The pricing of foreign exchange options with stochastic volatility: A practical approach. Imperial College Management School, 1996.
Cerca il testo completoBrock, William A. A dynamic structural model for stock return volatility and trading volume. National Bureau of Economic Research, 1995.
Cerca il testo completoFeinstein, Steven. The Hull and White implied volatility: A theoretical and empirical investigation of a volatility forecast implied by the Hull and White stochastic volatility option pricing model. Boston University, School of Management, 1992.
Cerca il testo completoA, Gershunov, Panorska A. K, Kozubowski Tomasz J. 1962-, California Energy Commission. Public Interest Energy Research., Scripps Institution of Oceanography, and University of Nevada Reno, eds. Quantifying volatility and the probability of daily precipitation extremes: PIER project report. California Energy Commission, 2007.
Cerca il testo completoHarvey, Andrew. Testing for a slowly changing level with a special reference to stochastic volatility. Suntory and Toyota International Centres for Economics and Related Disciplines, 1996.
Cerca il testo completoEngle, R. F. Index-option pricing with stochastic volatility and the value of accurate variance forecasts. National Bureau of Economic Research, 1993.
Cerca il testo completoFornari, Fabio. A simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate. Banca d'Italia, 2001.
Cerca il testo completoEngle, R. F. Hedging options in a GARCH environment: Testing the term structure of stochastic volatility models. National Bureau of Economic Research, 1994.
Cerca il testo completoTrolle, Anders B. A general stochastic volatility model for the pricing and forecasting of interest rate derivatives. National Bureau of Economic Research, 2006.
Cerca il testo completoHeston, Steven L. A closed-form solution for options with stochastic volatility, with application to bond and currency options. Yale University, School of Organization and Management, 1992.
Cerca il testo completoHeston, Steven L. A closed-form solution for options with stochastic volatility, with application to bond and currency options. Yale University, School of Organization and Management, 1992.
Cerca il testo completoChevallier, Julien, Stéphane Goutte, David Guerreiro, Sophie Saglio, and Bilel Sanhaji, eds. Financial Mathematics, Volatility And Covariance Modelling: Volume 2. Routledge, 2019.
Cerca il testo completoKim, Don H. Spanned stochastic volatility in bond markets: A reexamination of the relative pricing between bonds and bond options. Bank for International Settlements, 2007.
Cerca il testo completoChabi-Yo, Fousseni. The stochastic discount factor: Extending the volatility bound and a new approach to portfolio selection with higher-order moments. Bank of Canada, 2005.
Cerca il testo completoBergomi, Lorenzo. Stochastic Volatility Modeling. Chapman and Hall/CRC, 2015. http://dx.doi.org/10.1201/b19649.
Testo completoBergomi, Lorenzo. Stochastic Volatility Modeling. Taylor & Francis Group, 2015.
Cerca il testo completoBergomi, Lorenzo. Stochastic Volatility Modeling. Taylor & Francis Group, 2015.
Cerca il testo completoShephard, Neil. Stochastic Volatility: Selected Readings. Oxford University Press, 2005.
Cerca il testo completoFornari, Fabio, and Antonio Mele. Stochastic Volatility in Financial Markets. Springer, 2012.
Cerca il testo completoBishwal, Jaya P. N. Parameter Estimation in Stochastic Volatility Models. Springer International Publishing AG, 2022.
Cerca il testo completoParameter Estimation in Stochastic Volatility Models. Springer International Publishing AG, 2023.
Cerca il testo completoFouque, Jean-Pierre, George Papanicolaou, and K. Ronnie Sircar. Derivatives in Financial Markets with Stochastic Volatility. Cambridge University Press, 2000.
Cerca il testo completoCao, Quanwei. Pricing foreign currency options with stochastic volatility. 1993.
Cerca il testo completoBao, Yun, Carl Chiarella, and Boda Kang. Particle Filters for Markov-Switching Stochastic Volatility Models. Edited by Shu-Heng Chen, Mak Kaboudan, and Ye-Rong Du. Oxford University Press, 2018. http://dx.doi.org/10.1093/oxfordhb/9780199844371.013.9.
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