Volatility: new estimation techniques for pricing derivatives
Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
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Properties Estimation and Testing
ARCH Modelling in Finance
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ance Arch models asset pricing asset returns at-the-money autocorrelation autoregressive autoregressive conditional heteroskedasticity average Black-Scholes formula Bollerslev call option coefficient computed conditional heteroskedasticity conditional variance correlation covariance daily derivatives dynamics effect empirical Engle equation estimates Eurodollar exchange rate expected expiration Financial Economics function future volatility futures contract futures market futures price Garch Garch process Garch(l.l hedge historical volatility hypothesis implied tree implied variance implied volatility index options interest rate intraday Journal of Econometrics Journal of Financial Kalman filter kurtosis lagged linear market volatility martingale maturity multivariate node option prices option pricing model options market paper parameters period portfolio random realised volatility regression risk premium sample Schwert shocks skewness specification standard errors statistics stochastic volatility stock market stock returns t-statistic Table term structure theory time-varying tion tional trading days transition probabilities trinomial tree underlying variable volatility models volatility risk volatility spillovers zero