Stochastic Volatility

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Shephard, Neil

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ISBN:9780199257201
Editorial: Oxford University Press
Fecha de la edición:2007
Encuadernación:Rústica
Dimensiones: 0 cm x 0 cm
Nº Pág.:525
Idiomas:Ingles,Inglés

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/ Economía Cuantitativa

Stochastic volatility Neil Shephard Nuffield College University Oxford neil shephard nuf Overview Stochastic volatility the main concept used the fields financial economics and mathematical finance deal with the endemic time varying volatility and codependence found financial markets Such dependence has been known for long time early comments include Mandelbrot and Officer was also clear the founding fathers modern continuous time finance that homogeneity was unrealistic convenient simplification Black and Scholes wrote there evidence non stationarity the variance More work must done predict variances using the information available Heterogeneity has deep implications for the theory and practice financial economics and econometrics particular asset pricing theory dominated the idea that higher rewards may expected when face higher risks but these risks change through time complicated ways Some the changes the level risk can modelled stochastically where the level volatility and degree codependence between assets allowed change over time Such models allow explain for example empirically observed departures from Black Scholes Merton prices for options and understand why should expect see occasional dramatic moves financial markets The outline this article follows section will trace the origins and provide links with the basic models used today the literature section will briefly discuss some the innovations the second generation models section will briefly discuss the literatur