Working paper

Stochastic Volatility: Origins and Overview.

Abstract:: In this paper we review the history and recent developments of stochastic volatility, which is the main way financial economists and mathematical finance specialists model time varying volatility.

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APA Style

Shephard, N., & Andersen, T. (2008). Stochastic Volatility: Origins and Overview. Oxford-Man Institute of Quantitative Finance.

MLA Style

Shephard, N, and T Andersen. “Stochastic Volatility: Origins and Overview.” Oxford-Man Institute of Quantitative Finance, 2008. Working Papers.

Chicago Style

Shephard, N, and T Andersen. 2008. “Stochastic Volatility: Origins and Overview.” Working Papers. Oxford-Man Institute of Quantitative Finance.
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Files:: 2008OMI02.pdf

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Authors

+ Shephard, N More by this author

Role:: Author

+ Andersen, T More by this author

Role:: Author

Publisher:: Oxford-Man Institute of Quantitative Finance
Series:: Working papers
Publication date:: 2008-03-03

Language:: English
UUID:: uuid:4bc49063-ead5-4a39-8779-8a8a81b04f2c
Local pid:: oai:economics.ouls.ox.ac.uk:12287
Deposit date:: 2011-08-16
ARK identifier:: ark:/29072/ora_4bc49063ead54a3987798a8a81b04f2c

Terms of use

Copyright date:: 2008

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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