Journal article
Some recent developments in stochastic volatility modelling
- Abstract:
- This paper reviews and puts in context some of our recent work on stochastic volatility (SV) modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and SV, (ii) OU based volatility models, (iii) exact option pricing, (iv) realized power variation and realized variance, (v) building multivariate models.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Authors
+ Economic and Social Research Council
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- Funding agency for:
- Shephard, N
- Grant:
- R00023839
+ Danish National Research Foundation
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- Funding agency for:
- Barndorff-Nielsen, O
- Nicolato, E
+ Danish Social Science Research Council
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- Funding agency for:
- Barndorff-Nielsen, O
- Nicolato, E
- Publisher:
- IOP Publishing Ltd
- Journal:
- Quantitative finance More from this journal
- Volume:
- 2
- Issue:
- 1
- Pages:
- 11-23
- Publication date:
- 2002-02-01
- DOI:
- EISSN:
-
1469-7696
- ISSN:
-
1469-7688
- Language:
-
English
- Keywords:
- Subjects:
- UUID:
-
uuid:d156ae69-00a7-4e02-8bb6-ac1879b63a81
- Local pid:
-
ora:2249
- Deposit date:
-
2008-08-12
Terms of use
- Copyright holder:
- IOP Publishing Ltd
- Copyright date:
- 2002
- Notes:
- The full-text of this article is not available in ORA at this time. Citation: Barndorff-Nielsen, O. E. et al. (2002). 'Some recent developments in stochastic volatility modelling', Quantitative Finance, 2(1), 11-23. [Available at http://www.tandf.co.uk/journals/titles/14697688.asp].
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