Asset Price Dynamics, Volatility, and Prediction

by Stephen Taylor

Published by Princeton University Press in September 2005

The paperback edition of September 2007 and the Kindle edition contain the same text

Detailed information from the publisher

Contents, Preface & Chapter 1 (pdf file)

Available from booksellers worldwide


Discounts vary through time, the following are maximum levels seen at Amazon:


Hardback     34%

Paperback    38%

Kindle          54%


Recommended as a “Top Ten Finance” book in 2005 by:

Financial Engineering News


On reading lists for courses taught in the US, the UK, Portugal, Spain, Belgium, the Netherlands, Germany, Italy, Austria, Switzerland, Denmark, Norway, Finland, Turkey, Pakistan, China, Taiwan, Australia, New Zealand, Brazil, etc.


A recent course outline for the author’s MSc course (pdf file)


Resources for students:

          Two time series analyzed in APDVP:

                    S & P 100 index levels (xls file)

                    Deutsche mark/Dollar exchange rates (xls file)

          End-of-chapter questions (doc file)


Resources for teachers:

          Please e-mail the author to obtain exam and coursework questions




Updated references


e-mail the author



Last updated in March 2014