Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time: Dynamic Modeling and Econometrics in Economics and Finance, cartea 3
Autor Antonio Mele, Fabio Fornarien Limba Engleză Paperback – 26 oct 2012
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Paperback (1) | 600.56 lei 6-8 săpt. | |
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Hardback (1) | 606.46 lei 6-8 săpt. | |
Springer Us – 31 mai 2000 | 606.46 lei 6-8 săpt. |
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Specificații
ISBN-13: 9781461370451
ISBN-10: 1461370450
Pagini: 164
Ilustrații: XV, 147 p.
Dimensiuni: 155 x 235 x 9 mm
Greutate: 0.24 kg
Ediția:Softcover reprint of the original 1st ed. 2000
Editura: Springer Us
Colecția Springer
Seria Dynamic Modeling and Econometrics in Economics and Finance
Locul publicării:New York, NY, United States
ISBN-10: 1461370450
Pagini: 164
Ilustrații: XV, 147 p.
Dimensiuni: 155 x 235 x 9 mm
Greutate: 0.24 kg
Ediția:Softcover reprint of the original 1st ed. 2000
Editura: Springer Us
Colecția Springer
Seria Dynamic Modeling and Econometrics in Economics and Finance
Locul publicării:New York, NY, United States
Public țintă
ResearchCuprins
1 — Introduction.- 1.1 Background and aims of the monograph.- 1.2 Empirical models in discrete time.- 1.3 Theoretical issues.- 1.4 Statistical inference.- 1.5 Plan.- 2 — Continuous time behavior of non linear ARCH models.- 2.1 Introduction.- 2.2 Approximation results for a general class of non linear ARCH models.- 2.3 Interpretation of the moment conditions.- 2.4 Effectiveness of ARCH as diffusion approximations of theoretical models.- 2.5 Limiting behavior of the error process.- 2.6 Continuous time behavior of the volatility switching models.- Appendix A: proofs on convergence issues.- Appendix B: proofs on distributional issues.- Appendix C.- 3 — Continuous time stochastic volatility option pricing: foundational issues.- 3.1 Introduction.- 3.2 The reference model.- 3.3 Applications to stochastic volatility.- 3.4 On mean self-financing strategies and the minimal martingale measure.- Appendix: relative entropy and the minimal martingale measure.- 4 — Models of the term structure with stochastic volatility.- 4.1 Introduction.- 4.2 From the one factor model to the modelling of conditional heteroskedasticity.- 4.3 Searching for affinity.- 4.4 Early equilibrium-based models.- 4.5 A class of equilibrium models of the term structure with stochastic volatility.- 4.6 Concluding remarks: taking account of nonlinearities.- 5 — Formulating, solving and estimating models of the term structure using ARCH models as diffusion approximations.- 5.1 Introduction.- 5.2 Specification of the theoretical models.- 5.3 Econometric strategy.- 5.4 The pure numerical solution of the theoretical models.- 5.5 An illustrative example.- Appendix: a solution method based on the approach of iterated approximations.- References.