Business & Economics Books:

Volatility

New Estimation Techniques for Pricing Derivatives

Format

Paperback

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Volatility
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Description

This text contains a single source of knowledge designed to resolve any question in the area of stochastic volatility. Over 30 articles are presented in seven sections, addressing issues from making GARCH work to the future of stochastic volatility option pricing research. Chapters cover such subjects as: modelling stochastic volatility; multivariate GARCH modelling ofasset returns; ARCH modelling in finance; the impact of firm specific news on implied volatilities; the informational content of implied volatility; and implied volatility skews and stock index skewness and Kurtosis implied by S&P 500 index option prices. The articles were selected and introduced by leading theoretician, Robert Jarrow.
Release date NZ
May 31st, 1998
Contributor
Edited by Robert A Jarrow
Country of Publication
United Kingdom
Illustrations
index
Imprint
Risk Books
Pages
356
ISBN-13
9781899332465
Product ID
2069358

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