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Author : Hao Zhou
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.E/5 ( download)
Download or read book Jump-diffusion Term Structure and Ito Conditional Moment Generator written by Hao Zhou and published by . This book was released on 2001 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. Benson Durham
Publisher :
ISBN 13 :
Total Pages : 84 pages
Book Rating : 4.E/5 ( download)
Download or read book Jump-diffusion Processes and Affine Term Structure Models written by J. Benson Durham and published by . This book was released on 2005 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Affine term structure models in which the short rate follows a jump-diffusion process are difficult to solve, and the parameters of such models are hard to estimate. Without analytical answers to the partial difference differential equation (PDDE) for bond prices implied by jump-diffusion processes, one must find a numerical solution to the PDDE or exactly solve an approximate PDDE. Although the literature focuses on a single linearization technique to estimate the PDDE, this paper outlines alternative methods that seem to improve accuracy. Also, closed-form solutions, numerical estimates, and closed-form approximations of the PDDE each ultimately depend on the presumed distribution of jump sizes, and this paper explores a broader set of possible densities that may be more consistent with intuition, including a bi-modal Gaussian mixture. GMM and MLE of one- and two-factor jump-diffusion models produce some evidence for jumps, but sensitivity analyses suggest sizeable confidence intervals around the parameters.
Author : Qi Li
Publisher : Emerald Group Publishing
ISBN 13 : 1849506248
Total Pages : 570 pages
Book Rating : 4.8/5 (495 download)
Download or read book Nonparametric Econometric Methods written by Qi Li and published by Emerald Group Publishing. This book was released on 2009-12-04 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains a selection of papers presented initially at the 7th Annual Advances in Econometrics Conference held on the LSU campus in Baton Rouge, Louisiana during November 14-16, 2008. This work is suitable for those who wish to familiarize themselves with nonparametric methodology.
Author : Tim Bollerslev
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.E/5 ( download)
Download or read book Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility written by Tim Bollerslev and published by . This book was released on 2001 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Markus Bouziane
Publisher : Springer Science & Business Media
ISBN 13 : 3540770666
Total Pages : 207 pages
Book Rating : 4.5/5 (47 download)
Download or read book Pricing Interest-Rate Derivatives written by Markus Bouziane and published by Springer Science & Business Media. This book was released on 2008-03-18 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine jump-diffusion models.
Author : Ravi Bansal
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.E/5 ( download)
Download or read book Term Structure of Interest Rates with Regime Shifts written by Ravi Bansal and published by . This book was released on 2001 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hao Zhou
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.E/5 ( download)
Download or read book Îto Conditional Moment Generator and the Estimation of Short Rate Processes written by Hao Zhou and published by . This book was released on 2003 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 488 pages
Book Rating : 4.3/5 (91 download)
Download or read book ASTIN Bulletin written by and published by . This book was released on 2004 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeremy Bay Rudd
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.E/5 ( download)
Download or read book New Tests of the New-Keynesian Phillips Curve written by Jeremy Bay Rudd and published by . This book was released on 2001 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew Figura
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.E/5 ( download)
Download or read book The Cyclical Behavior of Short-term and Long-term Job Flows written by Andrew Figura and published by . This book was released on 2002 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387262849
Total Pages : 861 pages
Book Rating : 4.3/5 (872 download)
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.
Author : Jeffery D. Amato
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.E/5 ( download)
Download or read book Rule-of-thumb Behaviour and Monetary Policy written by Jeffery D. Amato and published by . This book was released on 2002 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew T. Levin
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.E/5 ( download)
Download or read book The Performance of Forecast-based Monetary Policy Rules Under Model Uncertainty written by Andrew T. Levin and published by . This book was released on 2001 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wojbor A. Woyczyński
Publisher : CRC Press
ISBN 13 : 1000475352
Total Pages : 138 pages
Book Rating : 4.0/5 (4 download)
Download or read book Diffusion Processes, Jump Processes, and Stochastic Differential Equations written by Wojbor A. Woyczyński and published by CRC Press. This book was released on 2022-03-09 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diffusion Processes, Jump Processes, and Stochastic Differential Equations provides a compact exposition of the results explaining interrelations between diffusion stochastic processes, stochastic differential equations and the fractional infinitesimal operators. The draft of this book has been extensively classroom tested by the author at Case Western Reserve University in a course that enrolled seniors and graduate students majoring in mathematics, statistics, engineering, physics, chemistry, economics and mathematical finance. The last topic proved to be particularly popular among students looking for careers on Wall Street and in research organizations devoted to financial problems. Features Quickly and concisely builds from basic probability theory to advanced topics Suitable as a primary text for an advanced course in diffusion processes and stochastic differential equations Useful as supplementary reading across a range of topics.
Author : Gurdip Bakshi
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.E/5 ( download)
Download or read book Recovery in Default Risk Modeling written by Gurdip Bakshi and published by . This book was released on 2001 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas Laubach
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.E/5 ( download)
Download or read book Measuring the Natural Rate of Interest written by Thomas Laubach and published by . This book was released on 2001 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert J. Tetlow
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.E/5 ( download)
Download or read book Avoiding Nash Inflation written by Robert J. Tetlow and published by . This book was released on 2002 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
