General Introduction

Part I: Model Building

1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-7 , S. J. Taylor

3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices , B. Rosenberg

4. The Pricing of Options on Assets with Stochastic Volatilities , J. Hull and A. White

5. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model , F. X. Diebold and M. Nerlove

6. A. C. Harvey, E. Ruiz, and N. Shephard

7. Stochastic Autoregressive Volatility: A Framework for Volatility Modelling , T. G. Andersen

8. Long Memory in Continuous-time Stochastic Volatility Models , F. Comte and E. Renault

Part II: Inference

9. Bayesian Analysis of Stochastic Volatility Models , E. Jacquier, N. G. Polson, and P. E. Rossi

10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models , S. Kim, N. Shephard, and S. Chib

11. Estimation of Stochastic Volatility Models with Diagnostics , A. R. Gallant, D. Hsieh, and G. Tauchen

Part III: Option Pricing

12. Pricing Foreign Currency Options with Stochastic Volatility , A. Melino and S. M. Turnbull

13. A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options , S. L. Heston

14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation , M. Chernov and E. Ghysels

Part IV: Realised Variation

15. The Distribution of Exchange Rate Volatility , T.G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys

16. Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models , O. E. Barndorff-Nielsen and N. Shephard