Research Catalog

Title

Stochastic volatility in financial markets : crossing the bridge to continuous time / Fabio Fornari and Antonio Mele.

Author

Fornari, Fabio.

Publication

Boston : Kluwer Academic Publishers, [2000], ©2000.

Items in the Library & Off-site

Holdings

Details

Additional Authors

Mele, Antonio.

Description

ix, 145 pages : illustrations; 25 cm.

Summary

• "In this book, the authors emphasize the use of the popular ARCH models in formulating, estimating, and testing the continuous time stochastic volatility models favored in the theoretical literature. The primary motivation of this research project is the result that although ARCH processes are stochastic difference equations, they can be thought of as reasonable approximations to the solutions of stochastic differential equations as the sampling frequency gets higher and higher.
• The authors make use of simulation based econometric methods and show how to test whether the approximation and filtering results for ARCH models are indeed valid. The statistical methodology used rests on the indirect inference principle, and is applied to a new class of fully articulated continuous time equilibrium models for the determination of the term structure of interest rates with stochastic volatility. This book also covers other research areas that are generated by the presence of stochastic volatility, such as market incompleteness, or imperfect hedging strategies that are optimal according to certain criteria.
• It also discusses some of the techniques that are typically needed to master and use the various setups that are built up through the book, such as the numerical integration of partial differential equations that typically arise in finance, or the convergence of difference equations to stochastic differential equations.".
• "The book is suitable for graduate students and scholars in financial markets econometrics and financial economics, but last year undergraduates will also find parts of this book useful reading."--BOOK JACKET.

Series Statement

Dynamic modeling and econometrics in economics and finance ; v. 3

Uniform Title

Dynamic modeling and econometrics in economics and finance ; v. 3.

Subjects

• Stochastic analysis
• Finance > Econometric models
• Capital market > Econometric models

Bibliography (note)

• Includes bibliographical references (p. [129]-142) and index.

Contents

Ch. 1. Introduction -- Ch. 2. Continuous time behavior for non linear ARCH models -- Ch. 3. Continuous time stochastic volatility option pricing: foundational issues -- Ch. 4. Models of the term structure with stochastic volatility -- Ch. 5. Formulating, solving and estimating models of the term structure using ARCH models as diffusion approximations.

ISBN

0792378423 (alk. paper)

LCCN

00028741

OCLC

• ocm43599212
• SCSB-3883158

Owning Institutions

Columbia University Libraries