Libri sul tema "Stochastic Volatility"

Takahashi, Makoto, Yasuhiro Omori e 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, e 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, a cura di. 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 e University of Nevada Reno, a cura di. 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 e Bilel Sanhaji, a cura di. 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, a cura di. 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, a cura di. Stochastic volatility: Selected readings. Oxford: Oxford University Press, 2005.

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

Fornari, Fabio, e 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 e K. Ronnie Sircar. Derivatives in Financial Markets with Stochastic Volatility. Cambridge University Press, 2000.

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