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Bibliographic Details

Title

Volatility: New Estimation Techniques for Pricing Derivatives

Publisher

Risk Books

Publication Date

1998

Language

English

ISBN 10

1899332464

ISBN 13

9781899332465

Binding

Paperback

Condition

Used; Very Good

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About this title

Synopsis

This text contains a single source of knowledge designed to resolve any question in the area of stochastic volatility. Over 30 articles are presented in seven sections, addressing issues from making GARCH work to the future of stochastic volatility option pricing research. Chapters cover such subjects as: modelling stochastic volatility; multivariate GARCH modelling ofasset returns; ARCH modelling in finance; the impact of firm specific news on implied volatilities; the informational content of implied volatility; and implied volatility skews and stock index skewness and Kurtosis implied by S&P 500 index option prices. The articles were selected and introduced by leading theoretician, Robert Jarrow.

From the Publisher

A single source of knowledge designed to help resolve any question in the area of stochastic volatility.
* 30+ articles arranged in 7 sections address issues from making GARCH work to the future of stochastic volatility option pricing research
* Selected and introduced by leading theoretician Robert Jarrow

"About this title" may belong to another edition of this title.

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