搜索结果: 1-12 共查到“理论经济学 Diffusions”相关记录12条 . 查询时间(0.062 秒)
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach
regime switching jump-diffusion models Value at Risk risk management Fourier transform methods.
2012/9/14
In this paper we consider the problem of calculating the quantiles of a risky position,the dynamic of which is described as a continuous time regime-switching jump-diffusion, by using Fourier Transfor...
The Wronskian parameterizes the class of diffusions with a given distribution at a random time
Wronskian distribution random time
2012/9/14
We provide a complete characterization of the class of one-dimensional time-homogeneous di usions consistent with a given law at an exponentially distributed time using classical results in di usion t...
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
Computing Functionals of Multidimensional Diffusions Monte Carlo Methods Numerical Analysis Computational Finance
2012/4/28
We discuss suitable classes of diffusion processes, for which functionals relevant to finance can be computed via Monte Carlo methods. In particular, we construct exact simulation schemes for processe...
Stationarity-based specification tests for diffusions when the process is nonstationary
Stationarity-based specification tests diffusions when the process nonstationary
2014/3/13
We analyze in this paper the asymptotic behavior of the specification test of Aït-Sahalia (1996) for the stationary density of a diffusion process, but when the diffusion is not stationary. We co...
Exact Simulation of Bessel Diffusions
Squared Bessel process bridge sampling first hitting time CIR and CEV diffusion models
2010/11/2
We consider the exact path sampling of the squared Bessel process and some other
continuous-timeMarkov processes, such as the CIR model, constant elasticity of variance diffusion model, and hypergeom...
Regularity of the Optimal Stopping Problem for Levy Processes with Non-Degenerate Diffusions
Regularity Levy Processes Non-Degenerate Diffusions
2010/10/29
The value function of an optimal stopping problem for a process with L´evy jumps is known to be a generalized solution of a variational inequality. Assuming the diffusion component of the proces...
An analysis of Hansen–Scheinkman moment estimators for discretely and randomly sampled diffusions
Diffusions Discrete sampling Random sampling Moment conditions Efficiency
2014/3/13
We derive closed-form expansions for the asymptotic distribution of Hansen and Scheinkman [1995. Back to the future:generating moment implications for continuous-time Markov processes. Econometrica 63...
Likelihood Inference for Diffusions: A Survey.
CLOSED-FORM LIKELIHOOD EXPANSIONS FOR MULTIVARIATE DIFFUSIONS
Diffusions likelihood expansions discrete observations
2014/3/13
This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by...
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
The Effects of Random Discrete Sampling Estimating Continuous-Time Diffusions
2014/3/13
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions.
ESTIMATORS OF DIFFUSIONS WITH RANDOMLY SPACED DISCRETE OBSERVATIONS: A GENERAL THEORY
Diffusions likelihood discrete and random sampling
2014/3/13
We provide a general method to analyze the asymptotic properties of a variety of estimators of continuous time diffusion processes when the data are not only discretely sampled in time but the time se...
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach
Maximum-Likelihood Estimation Discretely-Sampled Diffusions A Closed-Form Approximation Approach
2014/3/13
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach.