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Overview
Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved.
Synopsis
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