Stochastic Volatility in Financial Markets

Crossing the Bridge to Continuous Time

  • Fabio Fornari
  • Antonio Mele

Part of the Dynamic Modeling and Econometrics in Economics and Finance book series (DMEF, volume 3)

Table of contents

  1. Front Matter
    Pages i-xv
  2. Fabio Fornari, Antonio Mele
    Pages 1-30
  3. Fabio Fornari, Antonio Mele
    Pages 31-55
  4. Fabio Fornari, Antonio Mele
    Pages 81-97
  5. Back Matter
    Pages 129-147

About this book


Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.


Finance asset pricing econometrics financial markets option pricing volatility

Authors and affiliations

  • Fabio Fornari
    • 1
  • Antonio Mele
    • 2
    • 3
  1. 1.Bank of ItalyItaly
  2. 2.Université du LittoralFrance
  3. 3.THEMAUniversité de Paris XFrance

Bibliographic information

  • DOI
  • Copyright Information Kluwer Academic Publisher 2000
  • Publisher Name Springer, Boston, MA
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4613-7045-1
  • Online ISBN 978-1-4615-4533-0
  • Series Print ISSN 1566-0419
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking