Stochastic Volatility: Origins and Overview

Neil Shephard () and Torben Andersen
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Neil Shephard: University of Oxford, Department of Economics, University of Oxford, Oxford-Man Institute

Chapter 10 in Handbook of Financial Time Series, 2009, pp 233-254 from Springer

Abstract: Abstract Stochastic volatility is the main way time-varying volatility is modelled in financial markets. The development of stochastic volatility is reviewed, placing it in a modeling and historical context. Some recent trends in the literature are highlighted.

Keywords: Markov Chain Monte Carlo; Asset Price; Option Price; Stochastic Volatility; Quadratic Variation (search for similar items in EconPapers)
Date: 2009
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Related works:
Working Paper: Stochastic Volatility: Origins and Overview (2008)
Working Paper: Stochastic Volatility: Origins and Overview (2008)
Working Paper: Stochastic Volatility: Origins and Overview (2008)
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DOI: 10.1007/978-3-540-71297-8_10

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