Books on the topic 'Stochastic Volatility'

Takahashi, Makoto, Yasuhiro Omori, and Toshiaki Watanabe. Stochastic Volatility and Realized Stochastic Volatility Models. Singapore: Springer Nature Singapore, 2023. http://dx.doi.org/10.1007/978-981-99-0935-3.

Hafner, Reinhold. Stochastic Implied Volatility. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-642-17117-8.

Stochastic volatility modeling. Boca Raton: CRC Press, 2016.

Fornari, Fabio, and Antonio Mele. Stochastic Volatility in Financial Markets. Boston, MA: Springer US, 2000. http://dx.doi.org/10.1007/978-1-4615-4533-0.

Harvey, Andrew. The econometrics of stochastic volatility. London: London School of Economics Financial Markets Group, 1993.

Bishwal, Jaya P. N. Parameter Estimation in Stochastic Volatility Models. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-03861-7.

Melino, Angelo. Pricing foreign currency options with stochastic volatility. Toronto: Dept. of Economics; Institute for Policy Analysis, University of Toronto, 1988.

Hafner, Reinhold. Stochastic implied volatility: A factor-based model. Berlin: Springer, 2004.

Sandmann, G. Maximum likelihood estimation of stochastic volatility models. London: London School of Economics, Financial Markets Group, 1996.

Aït-Sahalia, Yacine. Maximum likelihood estimation of stochastic volatility models. Cambridge, MA: National Bureau of Economic Research, 2004.

Analytical Solutions of the SABR Stochastic Volatility Model. [New York, N.Y.?]: [publisher not identified], 2012.

Mulligan, Casey B. Robust aggregate implications of stochastic discount factor volatility. Cambridge, MA: National Bureau of Economic Research, 2004.

Krichene, Noureddine. Modeling stochastic volatility with application to stock returns. [Washington, D.C.]: International Monetary Fund, African Department, 2003.

Trolle, Anders B. Unspanned stochastic volatility and the pricing of commodity derivatives. Cambridge, Mass: National Bureau of Economic Research, 2006.

Alizadeh, Sassan. High- and low-frequency exchange rate volatility dynamics: Range-based estimation of stochastic volatility models. Cambridge, MA: National Bureau of Economic Research, 2001.

Javaheri, Alireza. Inside volatility filtering: The secrets of skewness. Hoboken, New Jersey: John Wiley & Sons, Inc., 2015.

Robinson, P. M. Nonlinear time series with long memory: A model for stochastic volatility. London: Suntory and Toyota International Centres for Economics and Related Disciplines, 1997.

Antonio, Mele, ed. Stochastic volatility in financial markets: Crossing the bridge to continuous time. Boston, Mass: Kluwer Academic Publishers, 2000.

Chacko, George. Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets. Cambridge, MA: National Bureau of Economic Research, 1999.

Robinson, Peter M. Nonlinear time series with long memory: A model for stochastic volatility. London: London School of Economics, Financial Markets Group, 1996.

Javaheri, Alireza. Inside Volatility Arbitrage. New York: John Wiley & Sons, Ltd., 2006.

Dufresne, Pierre Collin. Can interest rate volatility be extracted from the cross section of bond yields? an investigation of unspanned stochastic volatility. Cambridge, Mass: National Bureau of Economic Research, 2004.

Dufresne, Pierre Collin. Can interest rate volatility be extracted from the cross section of bond yields?: An investigation of unspanned stochastic volatility. Cambridge, MA: National Bureau of Economic Research, 2004.

Bates, David S. Jumps and stochastic volatility: Exchange rate processes implicit in PHLX Deutschemark options. Cambridge, MA: National Bureau of Economic Research, 1993.

Nunes, João Pedro Vidal. Exponential-affine diffusion term structure models: Dimension, time-homogeneity, and stochastic volatility. [s.l.]: typescript, 2000.

Guichard, R. The pricing of foreign exchange options with stochastic volatility: A practical approach. London: Imperial College Management School, 1996.

Empirical studies on volatility in international stock markets. Dordrecht: Kluwer Academic, 2003.

Feinstein, 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, MA: Boston University, School of Management, 1992.

Brock, William A. A dynamic structural model for stock return volatility and trading volume. Cambridge, MA: National Bureau of Economic Research, 1995.

Harvey, Andrew. Testing for a slowly changing level with a special reference to stochastic volatility. London: Suntory and Toyota International Centres for Economics and Related Disciplines, 1996.

Engle, R. F. Index-option pricing with stochastic volatility and the value of accurate variance forecasts. Cambridge, MA: National Bureau of Economic Research, 1993.

A, 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. [Sacramento, Calif.]: California Energy Commission, 2007.

Trolle, Anders B. A general stochastic volatility model for the pricing and forecasting of interest rate derivatives. Cambridge, Mass: National Bureau of Economic Research, 2006.

Engle, R. F. Hedging options in a GARCH environment: Testing the term structure of stochastic volatility models. Cambridge, MA: National Bureau of Economic Research, 1994.

Fornari, Fabio. A simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate. [Roma]: Banca d'Italia, 2001.

Chevallier, Julien, Stéphane Goutte, David Guerreiro, Sophie Saglio, and Bilel Sanhaji, eds. Financial Mathematics, Volatility And Covariance Modelling: Volume 2. Milton, Cambridge, UK: Routledge, 2019.

Heston, Steven L. A closed-form solution for options with stochastic volatility, with application to bond and currency options. New Haven, CT: Yale University, School of Organization and Management, 1992.

Heston, Steven L. A closed-form solution for options with stochastic volatility, with application to bond and currency options. New Haven, CT: Yale University, School of Organization and Management, 1992.

Kim, Don H. Spanned stochastic volatility in bond markets: A reexamination of the relative pricing between bonds and bond options. Basel, Switzerland: Bank for International Settlements, 2007.

Chabi-Yo, Fousseni. The stochastic discount factor: Extending the volatility bound and a new approach to portfolio selection with higher-order moments. Ottawa: Bank of Canada, 2005.

Radon Institute for Computational and Applied Mathematics, ed. Robust static super-replication of barrier options. Berlin: Walter de Gruyter, 2009.

Bergomi, Lorenzo. Stochastic Volatility Modeling. Chapman and Hall/CRC, 2015. http://dx.doi.org/10.1201/b19649.

Bergomi, Lorenzo. Stochastic Volatility Modeling. Taylor & Francis Group, 2015.

Bergomi, Lorenzo. Stochastic Volatility Modeling. Taylor & Francis Group, 2015.

Neil, Shephard, ed. Stochastic volatility: Selected readings. Oxford: Oxford University Press, 2005.

Shephard, Neil. Stochastic Volatility: Selected Readings. Oxford University Press, 2005.

Fornari, Fabio, and Antonio Mele. Stochastic Volatility in Financial Markets. Springer, 2012.

Bishwal, Jaya P. N. Parameter Estimation in Stochastic Volatility Models. Springer International Publishing AG, 2022.

Fouque, Jean-Pierre, George Papanicolaou, and K. Ronnie Sircar. Derivatives in Financial Markets with Stochastic Volatility. Cambridge University Press, 2000.

Cao, Quanwei. Pricing foreign currency options with stochastic volatility. 1993.