Contents of Stochastic Volatility Selected Readings

1. Introduction, Neil Shephard 2. A Subordinated Stochastic Process Model with Fixed Variance for Speculative Prices, P. K. Clark 3. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices 1961-79, S. J. Taylor 4. The Price Variability-Volume Relationship on Speculative Markets, G. Tauchen and M. Pitts 5. The Pricing of Options on Assets with Stochastic Volatilities, J. Hull and A. White 6. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model, F. X. Diebold and M. Nerlove 7. Pricing Foreign Currency Options with Stochastic Volatility, A. Melino and S. M. Turnbull 8. A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options, S. L. Heston 9. Stochastic Autoregressive Volatility: A Framework for Volatility Modelling, T. G. Andersen 10. Multivariate Stochastic Variance Models, A. C. Harvey, E. Ruiz, and N. Shephard 11. Bayesian Analysis of Stochastic Volatility Models (with Discussion), E. Jacquier, N. G. Polson, and P. E. Rossi 12. Estimation of Stochastic Volatility Models with Diagnostics, A. R. Gallant, D. Hsieh, and G. Tauchen 13. Estimating Continuous-Time Stochastic Volatility Models of the Short Term Interest Rate, T. G. Andersen and J. Lund 14. On the Detection and Estimation of Long Memory in Stochastic Volatility, F. J. Breidt, N. Crato, and P. de Lima 15. Non-Gaussian Ornstein-Uhlenbeck-Based Models and Some of their Uses in Financial Economics (with Discussion), O. E. Barndorff-Nielsen and N. Shephard 16. The Distribution of Exchange Rate Volatility, T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys