Some recent developments in stochastic volatility modelling

Ole Barndorff-Nielsen; Elisa Nicolato; N. Shephard

doi:10.1088/1469-7688/2/1/301

Some recent developments in stochastic volatility modelling

Ole Barndorff-Nielsen, Elisa Nicolato, N. Shephard

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

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

Original language	English
Journal	Quantitative Finance
Volume	2
Issue	1
Pages (from-to)	11-23
ISSN	1469-7688
DOIs	https://doi.org/10.1088/1469-7688/2/1/301
Publication status	Published - 2002
Externally published	Yes

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Cite this

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title = "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",

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