Continuous-time methods and market microstructure - Lo, Andrew W. (Andrew Wen-Chuan). (Cheltenham, Gloscester [England] Edward Elgar, 2007)
Part 1 - Market microstructure -- Estimating betas from nonsynchronous data / Myron Scholes and Joseph Williams -- Risk Management when shares are subject to infrequent trading / Elroy Dimson -- Estimating and adjusting for the intervalling-effect bias in beta / Kalman J. Cohen, Gabriel A. Hawawini, Steven F. Maier, Robert A. Schwartz and David K. Whitcomb -- A simple implicit measure of the effective bid-ask spread in an efficient market / Richard Roll -- An Investigation of transactions data for NYSE Stocks / Robert A. Wood, Thomas H. McInish and J. Keith Ord -- Nonsynchronous Data and the convariance-factor structure of returns / Jay Shanken -- Estimation bias induced by discrete security prices / Clifford A. Ball -- Estimating the components of the bid/ask spread / Lawrence R. Glosten and Lawrence E. Harris -- An econometric analysis nonsynchronous trading / Andrew W. Lo and A. Craig MacKinlay -- An ordered probit analysis of transaction stock prices / Jerry A. Hausman, Andrew W. Lo and A. Craig MacKinlay -- Econometric models of limit-order executions / Andrew W. Lo, A. Craig MacKinlay and June Zhang -- Part 2 - Derivatives and continuous-time econometrics -- A subordinated stochastic process model with finite variance for speculative prices / Peter K. Clark -- Theory of finance from the perspective of continuous time / Robert C. Merton -- The Extreme value of method for estimating the variance of the rate return / Michael Parkinson -- on the estimation of security price volatilities from historical data / Mark B. Garman and Michael J. Klass -- On jumps in common stock prices and their impact on call option pricing / Clifford A. Ball and Walter N. Torous -- Testing the Random walk hypothesis: Power versus frequency of observaton / Robert J. Shiller and Pierre Perron -- Statistical Test of contingent-claims asset-pricing models: a new methodology / Andrew W. Lo -- Semi-parametric Upper bounds for option prices and expected payoffs / Andew W. Lo -- Maximum livelihood estimation of generalized ito processes with discretely sampled data / Andrew W. Lo -- Implied Binomial Trees / Mark Rubinstein -- Implementing option pricing models when asset returns are Predictable / Andrew W. Lo -- Nonparametric estimation of state-price densities implicit in financial asset prices / Yacine Ait-Sahalia and Andrew W. Lo -- Nonparametric risk management and implied risk aversion / Yacine Ait-Sahalia and Andrew W. Lo -- When is time continuous / Dimitris Bertsimas, Leonid Kogan and Andrew W. Lo
Keywords: Money market -- Mathematical models; Stock exchanges -- Mathematical models; Derivative securities -- Mathematical models