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Stochastic Volatility: Origins and Overview

  • Neil Shephard


    (Oxford-Man Institute and Department of Economics, University of Oxford)

  • Torben Andersen

    (Kellogg School of Management, Northwestern University and CREATES, University of Aarhus)

In this paper we review the history and recent developments of stochastic volatility, which is the main way financial economists and mathematical finance specialists model time varying volatility.

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Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2008-W04.

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Length: 21 pages
Date of creation: 03 May 2008
Date of revision:
Handle: RePEc:nuf:econwp:0804
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