Items where Author is "Taylor, Stephen J."

Journal Article

Taylor, Stephen J. and Tzeng, Chi-Feng and Widdicks, Martin (2014) Bankruptcy probabilities inferred from option prices. Journal of Derivatives, 22 (2). pp. 8-31. ISSN 1074-1240

Contribution in Book/Report/Proceedings

Taylor, Stephen J. (2015) Consequences for option pricing of a long memory in volatility. In: Handbook of Financial Econometrics and Statistics :. Springer SBM, New York, pp. 903-933. ISBN 9781461477495

Taylor, Stephen J. (2012) Financial returns modelled by the product of two stochastic processes, a study of daily sugar prices. In: Financial risk measurement and management :. Edward Elgar, Cheltenham, pp. 441-464. ISBN 9781849803908