【Fabozzi】Stochastic Volatility and the Pric.pdf

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1、StochasticVolatilityandthePricingofFinancialDerivativesISBN9051705778Coverdesign:CrasbornGraphicDesignersbno,Valkenburga.d.GeulThisbookisno.366oftheTinbergenInstituteResearchSeries,establishedthroughcooperationbetweenThelaThesisandtheTinbergenInstitute.Alistofbookswhichalreadyappearedintheseriescanb

2、efoundintheback.StochasticVolatilityandthePricingofFinancialDerivativesACADEMISCHPROEFSCHRIFTterverkrijgingvandegraadvandoctoraandeUniversiteitvanAmsterdamopgezagvandeRectorMagnificusprof.mr.P.F.vanderHeijdentenoverstaanvaneendoorhetcollegevoorpromotiesingesteldecommissie,inhetopenbaarteverdedigenin

3、deAuladerUniversiteitopvrijdag10februari2006,te14.00uurdoorAntoinePetrusCorneliusvanderPloeggeborenteNoordwijkaanZeePromotiecommissiePromotors:Prof.dr.H.P.BoswijkProf.dr.F.C.J.M.deJongOverigeleden:Prof.dr.P.C.SchotmanProf.dr.S.J.KoopmanProf.dr.ir.J.G.deGooijerDr.J.J.A.G.DriessenDr.K.J.vanGarderenFac

4、ulteitderEconomischeWetenschappenenEconometrieAcknowledgementsThisdissertationformsthecompletionoffiveyearsofdoctoralresearchattheDepartmentofQuantitativeEconomicsoftheUniversityofAmsterdam,andtheTinbergenInstitute.Iwouldliketothankanumberofpeoplewhohaveeitherdirectlyorindirectlycontributedtothisthe

5、sis.Firstofall,IthankmypromotersPeterBoswijkandFrankdeJongforhavinggivenmetheopportunitytobecomeadoctorandtofollowmyownresearchpath,butinparticularfortheirinspiringandverypleasantguidanceduringmyPhD.Ialsothanktheothermembersofthepromotioncommittee,SiemJanKoopman,JoostDriessen,PeterSchotman,KeesJanva

6、nGarderenandJandeGooijer,fortheirinterestandtimetheyhaveputinreadingandevaluatingthisthesis.SpecialthanksgoestoJoostDriessenforthealwaysstimulatingdiscussionswehadoverthepastfewyears.IalsothankthepeopleItalkedwithonvariousconferences.Besideshavingbeenagreatstimulant,theyhavehelpedfurthershapemyideas

7、andresearch.IamgratefultothepeopleIworkedtogetherwithinteachingseveralcourses,includingRoaldRamer,FrankKleibergen,RistoHeijmans,JanBogersandThijeEuverman.Thisteamworkformedawelcomesupplementtodoingsom