This paper contains a survey of the recent literature on the class of stochastic volatility models in finance, with an emphasis on statistical modeling of volatility.

In this paper, we survey some of the recent nonparametric estimation methods which were developed to price derivative contracts. We focus on equity options and start with a so-called model-free approach which involves very little financial theory. Next we discuss nonparametric and...

This article deals with the estimation of the parameters of an -stable distribution by the indirect inference method with the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate for an auxiliary model since it has the same number of parameters as the...

An important class of structural econometric models (nonlinear rational expectations, option pricing, auction models, ...) characterize observable variables as highly nonlinear transforma- tions of some latent variables. These transformations are one-to-one, but they depend on the unknown...