Stochastic Volatility

N. Shephard: General Introduction Part I: Model Building 1: P. K. Clark: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 2: S. J. Taylor: Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-79 3: B. Rosenberg: The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices 4: J. Hull and A. White: The Pricing of Options on Assets with Stochastic Volatilities 5: F. X. Diebold and M. Nerlove: The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model 6: A. C. Harvey, E. Ruiz, and N. Shephard: Multivariate Stochastic Variance Models 7: T. G. Andersen: Stochastic Autoregressive Volatility: A Framework for Volatility Modeling 8: F. Comte and E. Renault: Long Memory in Continuous-time Stochastic Volatility Models Part II: Inference 9: E. Jacquier, N. G. Polson, and P. E. Rossi: Bayesian Analysis of Stochastic Volatility Models 10: S. Kim, N. Shephard, and S. Chib: Stochastic Volatility: Likelihood Inference and Comparison with ARCH models 11: A. R. Gallant, D. Hsieh, and G. Tauchen: Estimation of Stochastic Volatility Models with Diagnostics Part III: Option Pricing 12: A. Melino and S. M. Turnbull: Pricing Foreign Currency Options with Stochastic Volatility 13: S. L. Heston: A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options 14: M. Chernov and E. Ghysels: A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation Part IV: Realised Variation 15: T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys: The Distribution of Exchange Rate Volatility 16: O. E. Barndorff-Nielsen and N. Shephard: Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models Index