The Dynamics of Stochastic Volatility: Evidence from Underlying and Option Markets (2000)

by Christopher S. Jones
Citations:72 - 1 self

Active Bibliography

29 Bayesian estimation of continuous-time finance models – Christopher S. Jones - 1999
heteroskedasticity models – Jeroen Rombouts, Lars Stentoft, Jeroen V. K. Rombouts, Lars Stentoft Core, Jeroen V. K. Rombouts, Lars Stentoft - 2009
6 BAYESIAN OPTION PRICING USING MIXED NORMAL HETEROSKEDASTICITY MODELS – Jeroen V. K. Rombouts, Lars Stentoft - 2009
THE VOLATILITY PROCESS: A STUDY OF STOCK MARKET DYNAMICS VIA PARAMETRIC STOCHASTIC VOLATILITY MODELS AND A COMPARISON TO THE INFORMATION EMBEDDED IN THE OPTIONS PRICE – De Paris, Collège Doctoral, M. Lane, M. Marco, M. Piotr, Karasinski Examinateur, M. Bernard, Lapeyre Examinateur, M. Yves, Rouchaleau Examinateur Acknowledgments, Peter Carr, Espen Haug, Ali Hirsa, Simon Julier, Alan Lewis, Dilip Madan, Youssef R, Paul Wilmott, David Wong
1 Essays in Financial Econometrics – Mikhail Chernov - 2000
213 Stochastic Volatility – Eric Ghysels, Andrew Harvey, Eric Renault - 1995
17 Which GARCH Model for Option Valuation – Peter Christoffersen, Kris Jacobs - 2004
fisher.osu.edu Complex Times: Asset Pricing and Conditional Moments under Non-Affine Diffusions ∗ – Robert L. Kimmel - 2008
ΣΤΑΤΙΣΤΙΚΗ ΚΑΤΑ BAYES ΓΙΑ ΠΟΛΥΔΙΑΣΤΑΤΕΣ ΔΙΑΔΙΚΑΣΙΕΣ ΔΙΑΧΥΣΗΣ – Konstantinos P. Kalogeropoulos, Κωνσταντίνος Π. Καλογερόπουλος, Διδακτορικη Διατριβη, Διδακτορικού Διπλώματος Στη Στατιστική
89 Time-Changed Lévy Processes and Option Pricing – Peter Carr , Liuren Wu - 2002
20 Nonlinear Mean Reversion in the Short-Term Interest Rate – Christopher S. Jones - 2003
Option Pricing Bounds and Statistical . . . – Per A. Mykland - 2009
74 A Study towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation – Mikhail Chernov, Eric Ghysels, Roger Lee, Especially Ron Gallant, Insightful Discussions We - 1999
88 Parametric and Nonparametric Volatility Measurement – Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Neil Shephard - 2002
and methods in financial econometrics Contents – Zhibiao Zhao - 801
100 Stochastic Volatility for Lévy Processes – Peter Carr, Dilip B. Madan, Marc Yor - 2001
Les organisations-partenaires / The Partner Organizations – Mark Broadie, Jérôme Detemple, Eric Ghysels, Olivier Torrès, Octobre Cirano, École Des Hautes Études Commerciales
8 Option Valuation with Conditional Heteroskedasticity and Non-Normality – Peter Christoffersen, Redouane Elkamhi, Bruno Feunou, Kris Jacobs - 2009
No-Arbitrage Valuation of Contingent Claims in Discrete Time – Peter Christoffersen, Redouane Elkamhi, Kris Jacobs - 2005