Some recent developments in stochastic volatility modelling

Ole Barndorff-Nielsen, Elisa Nicolato () and Neil Shephard ()
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Elisa Nicolato: Dept of Mathematical Sciences, University of Aarhus

No 2001-W25, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: This paper reviews and puts in context some of our recent work on stochastic volatility modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and stochastic volatility, (ii) OU based volatility models, (iii) exact option pricing, (iv) realised power variation and realised variance, (v) building multivariate models.

Pages: 23 pages
Date: 2001-12-07
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

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