Parameter Estimation in Stochastic Volatility Models

€ 153.99
Lieferbar in 24 Tagen
Kurzbeschreibung des Verlags:

This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.

Mehr Informationen
ISBN 9783031038600
Sprache Englisch
Ausgabe 1st ed. 2022
Erscheinungsdatum 07.08.2022
Umfang 613 Seiten
Genre Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik
Format Hardcover
Verlag Springer International Publishing
Diese Produkte könnten Sie auch interessieren:
Katarzyna Filipiak, Augustyn Markiewicz, Dietrich von Rosen
€ 120,99
Göran Kauermann, Helmut Küchenhoff, Christian Heumann
€ 87,99
Alberto Pinto, David Zilberman
€ 131,99
Kenneth J. Berry, Kenneth L. Kvamme, Janis E. Johnston, Paul W. Mielke, Jr.
€ 93,49
Vladimir A. Garanzha, Lennard Kamenski, Hang Si
€ 219,99
Ludger Rüschendorf
€ 65,99
Jean Deteix, Thierno Diop, Michel Fortin
€ 60,49