000			01787nam a22002057a 4500
003			OSt
005			20240809131211.0
008			220929b |||||||| |||| 00| 0 eng d
020			_a9780691134796
040			_aICTS-TIFR
050			_aHG4636
100			_aTaylor, Stephen J.
245			_aAsset price dynamics, volatility, and prediction
260			_aNew Jersey _bPrinceton University Press _c2005
300			_axv, 525 pp.
505			_a1. Introduction; I. Foundations: 2. Prices and Returns; 3. Stochastic Processes: Definitions and Examples; 4. Stylized Facts for Financial Returns; II. Conditional Expected Returns: 5. The Variance-Ratio Test of the Random Walk Hypothesis; 6. Further Tests of the Random Walk Hypothesis; 7. Trading Rules and Market Efficiency; III. Volatility Processes: 8. An Introduction to Volatility; 9. ARCH Models: Definitions and Examples; 10. ARCH Models: Selection and Likelihood Methods; 11. Stochastic Volatility Models; IV. High-Frequency Methods: 12. High-Frequency Data and Models; V. Inferences from Option Prices: 13. Continuous-Time Stochastic Processes; 14. Option Pricing Formulae; 15. Forecasting Volatility; 16. Density Prediction for Asset Prices
520			_aThis book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions.
650			_aSocial Sciences: Finance
942			_2lcc _cBK
999			_c3201 _d3201