金融ボラティリティへの連続時間からのアプローチ Continuous Time Approach to Financial Volatility (Mathematics, Finance and Risk)

Barndorff-Nielsen, Ole E./ Shephard, Neil

Cambridge University Press（2020/06発売）

• 製本 Hardcover:ハードカバー版／ページ数 400 p.
• 言語 ENG
• 商品コード 9780521834407
• DDC分類 332.0151

基本説明

Publication delayed (Originally scheduled in 2005). Explains how Levy processes can be used to study some problems in finance, describing applications with further mathematical ideas.

Full Description

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.

Contents

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