20. Modeling Volatility

  1. T. W. Epps

Published Online: 23 MAR 2009

DOI: 10.1002/9780470455289.ch20

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

How to Cite

Epps, T. W. (2009) Modeling Volatility, in Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470455289.ch20

Publication History

  1. Published Online: 23 MAR 2009
  2. Published Print: 2 MAR 2009

ISBN Information

Print ISBN: 9780470431993

Online ISBN: 9780470455289

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Keywords:

  • modeling volatility;
  • price-dependent volatility;
  • constant-elasticity-of-variance model;
  • hobson-rogers model;
  • autoregressive conditional heteroskedasticity models

Summary

This chapter contains sections titled:

  • Models with Price-Dependent Volatility

  • Autoregressive Conditional Heteroskedasticity Models

  • Stochastic Volatility

  • Is Replication Possible?

  • Exercises