Titlebook: Stochastic Volatility in Financial Markets; Crossing the Bridge Fabio Fornari,Antonio Mele Book 2000 Springer Science+Business Media New Y

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978-1-4613-7045-1Springer Science+Business Media New York 2000

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Stochastic Volatility in Financial Markets978-1-4615-4533-0Series ISSN 1566-0419 Series E-ISSN 2363-8370

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https://doi.org/10.1007/978-1-4615-4533-0Finance; asset pricing; econometrics; financial markets; option pricing; volatility

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Book 2000parts. The first part aims at documentingan empirical regularity of financial price changes: the occurrence ofsudden and persistent changes of financial markets volatility. Thisphenomenon, technically termed `stochastic volatility‘, or`conditional heteroskedasticity‘, has been well known for at leas

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Continuous Time Stochastic Volatility Option Pricing: Foundational Issues,im is generally not attainable with a truly self-financing trading strategy, and absence of arbitrage opportunities is not sufficient to recover a unique rational price function of the claim, as in the celebrated Black and Scholes (1973) case.

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Models of the Term Structure with Stochastic Volatility,terest rate dynamics, and focus essentially on the case in which the instantaneous interest rate is the solution of a stochastic differential system with stochastic volatility, as for instance in system (1.1) of chapter 1.

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Formulating, Solving and Estimating Models of the Term Structure Using Arch Models as Diffusion App term interest rate and its instantaneous volatility. In fact, the next section shows how to backward engeneer the drift and diffusion functions of the state variables that generate arbitrary models of the short term interest rate with stochastic volatility.

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