Template-type: ReDIF-Paper 1.0
Author-Name: Ole E. Barndorff-Nielsen 
Author-Email: oebn@mi.aau.dk
Author-Workplace-Name:The Centre for Mathematical Physics and Stochastics (MaPhySto), University of Aarhus
Author-Name: Elisa Nicolato
Author-Email: elisa@imf.au.dk
Author-Workplace-Name: Dept of Mathematical Sciences, University of Aarhus
Author-Name: Neil Shephard
Author-Email: neil.shephard@nuffield.ox.ac.uk
Author-Homepage: http://www.nuff.ox.ac.uk/users/shephard/
Author-Workplace-Name:Nuffield College, Oxford
Author-Workplace-Homepage:http://www.nuff.ox.ac.uk/
Title:Some recent developments in stochastic volatility modelling
Abstract:
 This paper reviews and puts in context some of our recent work on stochastic volatility modelling for financial economics.  Here our main focus is on: (i) the relationship between subordination and stochastic volatility, (ii) OU based volatility models, (iii) exact option pricing, (iv) realised power variation and realised variance, (v) building multivariate models.
Length:23 pages
Creation-Date: 2001-12-07
Number:2001-W25
File-URL:http://www.nuff.ox.ac.uk/Economics/papers/2001/w25/qf.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0125