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Stochastic Volatility in Financial Markets

Crossing the Bridge to Continuous Time

  • Book
  • © 2000

Overview

Authors:
  1. Fabio Fornari

    1. Bank of Italy, Italy

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    You can also search for this author in PubMed   Google Scholar

  2. Antonio Mele

    1. Université du Littoral, France
      THEMA, Université de Paris X, France

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    You can also search for this author in PubMed   Google Scholar

Part of the book series: Dynamic Modeling and Econometrics in Economics and Finance (DMEF, volume 3)

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Table of contents (5 chapters)

  1. Front Matter

    Pages i-xv
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  2. Introduction

    • Fabio Fornari, Antonio Mele
    Pages 1-30

  3. Continuous Time Behavior of Non Linear Arch Models

    • Fabio Fornari, Antonio Mele
    Pages 31-55

  4. Continuous Time Stochastic Volatility Option Pricing: Foundational Issues

    • Fabio Fornari, Antonio Mele
    Pages 57-80

  5. Models of the Term Structure with Stochastic Volatility

    • Fabio Fornari, Antonio Mele
    Pages 81-97

  6. Formulating, Solving and Estimating Models of the Term Structure Using Arch Models as Diffusion Approximations

    • Fabio Fornari, Antonio Mele
    Pages 99-128

  7. Back Matter

    Pages 129-147
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Keywords

About this book

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.

Authors and Affiliations

  • Bank of Italy, Italy

    Fabio Fornari

  • Université du Littoral, France

    Antonio Mele

  • THEMA, Université de Paris X, France

    Antonio Mele

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