Some recent developments in stochastic volatility modelling.

Working paper

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.

Authors: Barndorff-Nielsen, O; Nicolato, E; Shephard, N

• Publisher: Nuffield College (University of Oxford)
• Host title: Economics Group, Nuffield College, University of Oxford, Economics Papers
• Series: Economics Series Working Papers
• Publication date: 2001-01-01
• Language: English