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Continuous Time Approach to Financial Volatility

Ole E. Barndorff-Nielsen, Neil Shephard (Autoren)

Buch | Hardcover

400 Seiten

2020
Cambridge University Press (Verlag)
978-0-521-83440-7 (ISBN)

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The idea of this book is to explain how Levy processes can be used to study some problems in finance. The necessary technology is motivated and justified in an opening chapter, and is then followed by chapters explaining the mathematics and computational aspects of the subject. The heart of the book describes applications, with further mathematical ideas introduced as and when needed. The authors cover new ideas not presented in book form before, blending theory and practice, and this account will be of value to all those working in mathematical finance, financial econometrics, probability and statistics.

Ole Barndorff-Nielsen is a Professor at the Department of Mathematical Sciences, University of Aarhus. He also holds positions as Scientific Director of MaPhySto and Deputy Scientific Director of MCAA Neil Shephard is an Official Fellow in Economics, Nuffield College and Professor of Economics, University of Oxford

1. Introduction; 2. Basics of Levy processes; 3. Stochastic volatility; 4. Time-change Levy process; 5. Parametric models of spot variance; 6. Leverage; 7. Simulation and inference for time-change and SV; 8. Realised multipower variation; 9. Mathematics of Levy based models; 10. Conclusions; Appendix A. Primer on stochastic analysis; Appendix B. Distributions; Appendix C. Collections of definitions and notation; Appendix D. Data; References; Index

Erscheint lt. Verlag	1.6.2020
Reihe/Serie	Mathematics, Finance and Risk ; No. 4
Zusatzinfo	28 figures
Verlagsort	Cambridge
Sprache	englisch
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
Schlagworte	Mathematics, Finance & Risk S.; No. 4
ISBN-10	0-521-83440-6 / 0521834406
ISBN-13	978-0-521-83440-7 / 9780521834407
Zustand	Neuware