Barndorff-Nielsen, Ole Eiler4; Nicolato, Elisa3; Shephard, N.3
1 Department of Mathematical Sciences, Faculty of Science, Aarhus University, Aarhus University2 Department of Mathematics, Science and Technology, Aarhus University3 unknown4 Department of Mathematics, Science and Technology, Aarhus University
This paper reviews and puts in context some of our recent work on stochastic volatility (SV) modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and SV, (ii) OU based volatility models, (iii) exact option pricing, (iv) realized power variation and realized variance, (v) building multivariate models.
Quantitative Finance, 2002, Vol 2, Issue 1, p. 11-23