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- catalog contributor b12962563.
- catalog contributor b12962564.
- catalog created "2002.".
- catalog date "2002".
- catalog date "2002.".
- catalog dateCopyrighted "2002.".
- catalog description "1. Volatility modelling in finance / Abdurrahman Bekir Aydemir -- 2. Stochastic volatility and option pricing / George J. Jiang -- 3. Modelling slippage: an application to the bund futures contract / Emmanuel Acar and Edouard Petitdidier -- 4. Real trading volume and price action in the foreign exchange markets / Pierre Lequeux -- 5. Implied risk-neutral probability density functions from option prices: a central bank perspective / Bhupinder Bahra -- 6. Hashing GARCH: a reassessment of volatility forecasting performance / George A. Christodoulakis and Stephen E. Satchell.".
- catalog description "13. GARCH processes -- some exact results, some difficulties and a suggested remedy / John L. Knight and Stephen E. Satchell -- 14. Generating composite volatility forecasts with random factor betas / George A. Christodoulakis -- 15. The information content of the FTSE100 index option implied volatility and its structural changes with links to loss aversion / Declan Chih-Yen Huang.".
- catalog description "7. Implied volatility forecasting: a comparison of different procedures including fractionally integrated models with applications to UK equity options / Soosung Hwang and Stephen E. Satchell -- 8. GARCH predictions and the predictions of option prices / John Knight and Stephen E. Satchell -- 9. Volatility forecasting in a tick data model / L.C.G. Rogers -- 10. An econometric model of downside risk / Shaun Bond -- 11. Variations in the mean and volatility of stock returns around turning points of the business cycle / Gabriel Perez-Quiros and Allan Timmermann -- 12. Long memory in stochastic volatility / Andrew C. Harvey.".
- catalog description "Includes bibliographical references and index.".
- catalog extent "viii, 407 p. :".
- catalog identifier "0750655151".
- catalog isPartOf "Quantitative finance series".
- catalog issued "2002".
- catalog issued "2002.".
- catalog language "eng".
- catalog publisher "Oxford ; Boston : Butterworth-Heinemann,".
- catalog subject "332.63/2042 21".
- catalog subject "HG6024.A3 F675 2002".
- catalog subject "Options (Finance) Mathematical models.".
- catalog subject "Securities Prices Mathematical models.".
- catalog subject "Stock price forecasting Mathematical models.".
- catalog tableOfContents "1. Volatility modelling in finance / Abdurrahman Bekir Aydemir -- 2. Stochastic volatility and option pricing / George J. Jiang -- 3. Modelling slippage: an application to the bund futures contract / Emmanuel Acar and Edouard Petitdidier -- 4. Real trading volume and price action in the foreign exchange markets / Pierre Lequeux -- 5. Implied risk-neutral probability density functions from option prices: a central bank perspective / Bhupinder Bahra -- 6. Hashing GARCH: a reassessment of volatility forecasting performance / George A. Christodoulakis and Stephen E. Satchell.".
- catalog tableOfContents "13. GARCH processes -- some exact results, some difficulties and a suggested remedy / John L. Knight and Stephen E. Satchell -- 14. Generating composite volatility forecasts with random factor betas / George A. Christodoulakis -- 15. The information content of the FTSE100 index option implied volatility and its structural changes with links to loss aversion / Declan Chih-Yen Huang.".
- catalog tableOfContents "7. Implied volatility forecasting: a comparison of different procedures including fractionally integrated models with applications to UK equity options / Soosung Hwang and Stephen E. Satchell -- 8. GARCH predictions and the predictions of option prices / John Knight and Stephen E. Satchell -- 9. Volatility forecasting in a tick data model / L.C.G. Rogers -- 10. An econometric model of downside risk / Shaun Bond -- 11. Variations in the mean and volatility of stock returns around turning points of the business cycle / Gabriel Perez-Quiros and Allan Timmermann -- 12. Long memory in stochastic volatility / Andrew C. Harvey.".
- catalog title "Forecasting volatility in the financial markets / edited by John Knight, Stephen Satchell.".
- catalog type "text".