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Some recent developments in stochastic volatility modelling

Abstract:
This paper reviews and puts in context some of our recent work on stochastic volatility (SV) modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and SV, (ii) OU based volatility models, (iii) exact option pricing, (iv) realized power variation and realized variance, (v) building multivariate models.
Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1088/1469-7688/2/1/301

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Institution:
University of Aarhus
Role:
Author
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Institution:
University of Aarhus
Role:
Author
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Institution:
University of Oxford
Research group:
Econometrics
Oxford college:
Nuffield College
Department:
Social Sciences Division - Economics
Role:
Author
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Funding agency for:
Ole E. Barndorff-Nielsen
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Funding agency for:
Ole E. Barndorff-Nielsen
Publisher:
IOP Publishing Ltd Publisher's website
Journal:
Quantitative finance Journal website
Volume:
2
Issue:
1
Pages:
11-23
Publication date:
2002-02-05
DOI:
EISSN:
1469-7696
ISSN:
1469-7688
URN:
uuid:d156ae69-00a7-4e02-8bb6-ac1879b63a81
Local pid:
ora:2249

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