Released on = March 21, 2007, 11:56 pm

Press Release Author = adrian

Industry = Financial

Press Release Summary = A single source of knowledge designed to help resolve any
question in the area of stochastic volatility

Press Release Body =
Volatility

A single source of knowledge designed to help resolve any question in the area of
stochastic volatility

30+ articles arranged in 7 sections address issues from making GARCH work to the
future of stochastic volatility option pricing research
Selected and introduced by leading theoretician Robert Jarrow
Making Garch Work: Tests, Refinements and Applications

Introduction
Robert Jarrow

A Survey of Arch Models: Properties, Estimation and Testing
Anil K. Bera and Matthew L. Higgins

ARCH Modelling in Finance
Tim Bollerslev, Ray Y. Chou and Kenneth F. Kroner

Modelling Stochastic Volatility: A Review and Comparative Study
Stephen J. Taylor

Multivariate Garch Modelling of Asset Returns
Kenneth F. Kroner and Victor K. Ng

Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance
Forecasts
Robert F. Engle, Alex Kane and Jaesun Noh

Markov Switching in Garch Processes and Mean-Reverting Stock Market Volatility
Michael Dueker

For more information kindly visit
http://www.bharatbook.com/general/Volatility.html

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