Stochastic Volatility: Selected Readings

Shephard (economics, U. of Oxford) draws together 16 papers by international contributors on the econometrics of stochastic volatility used in financial economics and mathematical finance, also influenced by the fields of probability theory and econometrics. Topics stressed are model building, inference, option pricing, and realized variation, including process, exchange rates, volatility modeling, Bayesian analysis, and foreign currency options. Annotation ©2005 Book News, Inc., Portland, OR

Nuffield College, Oxford University