Continuous Time Approach to Financial Volatility
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Continuous Time Approach to Financial Volatility
Barndorff-Nielsen, Ole E.; Shephard, Neil
Cambridge University Press
06/2020
400
Dura
Inglês
9780521834407
15 a 20 dias
Descrição não disponível.
1. Introduction; 2. Basics of Levy processes; 3. Stochastic volatility; 4. Time-change Levy process; 5. Parametric models of spot variance; 6. Leverage; 7. Simulation and inference for time-change and SV; 8. Realised multipower variation; 9. Mathematics of Levy based models; 10. Conclusions; Appendix A. Primer on stochastic analysis; Appendix B. Distributions; Appendix C. Collections of definitions and notation; Appendix D. Data; References; Index
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1. Introduction; 2. Basics of Levy processes; 3. Stochastic volatility; 4. Time-change Levy process; 5. Parametric models of spot variance; 6. Leverage; 7. Simulation and inference for time-change and SV; 8. Realised multipower variation; 9. Mathematics of Levy based models; 10. Conclusions; Appendix A. Primer on stochastic analysis; Appendix B. Distributions; Appendix C. Collections of definitions and notation; Appendix D. Data; References; Index
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
