Parameter Estimation in Stochastic Volatility Models, Bishwal
Автор: Hans Georg Bock; Thomas Carraro; Willi J?ger; Stef Название: Model Based Parameter Estimation ISBN: 3642440762 ISBN-13(EAN): 9783642440762 Издательство: Springer Рейтинг: Цена: 121110.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book features papers from a workshop on parameter estimation held in 2009 in Heidelberg. It combines mathematical and numerical methods to apply parameter estimation and optimum experimental design in a range of contexts.
Автор: Takahashi Название: Stochastic Volatility and Realized Stochastic Volatility Models ISBN: 9819909341 ISBN-13(EAN): 9789819909346 Издательство: Springer Рейтинг: Цена: 46570.00 T Наличие на складе: Нет в наличии. Описание: This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for estimating model parameters and forecasting the volatility and quantiles of financial asset returns. The modeling of financial time series volatility constitutes a crucial aspect of finance, as it plays a vital role in predicting return distributions and managing risks. Among the various econometric models available, the stochastic volatility model has been a popular choice, particularly in comparison to other models, such as GARCH models, as it has demonstrated superior performance in previous empirical studies in terms of fit, forecasting volatility, and evaluating tail risk measures such as Value-at-Risk and Expected Shortfall. The book also explores an extension of the basic stochastic volatility model, incorporating a skewed return error distribution and a realized volatility measurement equation. The concept of realized volatility, a newly established estimator of volatility using intraday returns data, is introduced, and a comprehensive description of the resulting realized stochastic volatility model is provided. The text contains a thorough explanation of several efficient sampling algorithms for latent log volatilities, as well as an illustration of parameter estimation and volatility prediction through empirical studies utilizing various asset return data, including the yen/US dollar exchange rate, the Dow Jones Industrial Average, and the Nikkei 225 stock index. This publication is highly recommended for readers with an interest in the latest developments in stochastic volatility models and realized stochastic volatility models, particularly in regards to financial risk management.
Автор: Detlef Repplinger Название: Pricing of Bond Options ISBN: 3540707212 ISBN-13(EAN): 9783540707219 Издательство: Springer Рейтинг: Цена: 79190.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Covers the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds and options on coupon bearing bonds are linked by no-arbitrage relations through the correlation structure of interest rates.
Автор: Boguslavskiy, Josif A. Название: Dynamic systems models ISBN: 3319040359 ISBN-13(EAN): 9783319040356 Издательство: Springer Рейтинг: Цена: 104480.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Dynamic Systems Models
Автор: Bergomi Название: Stochastic Volatility Modeling ISBN: 1482244063 ISBN-13(EAN): 9781482244069 Издательство: Taylor&Francis Рейтинг: Цена: 89820.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание:
Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:
Which trading issues do we tackle with stochastic volatility?
How do we design models and assess their relevance?
How do we tell which models are usable and when does calibration make sense?
This manual covers the practicalities of modeling local volatility, stochastic volatility, local-stochastic volatility, and multi-asset stochastic volatility. In the course of this exploration, the author, Risk's 2009 Quant of the Year and a leading contributor to volatility modeling, draws on his experience as head quant in Soci t G n rale's equity derivatives division. Clear and straightforward, the book takes readers through various modeling challenges, all originating in actual trading/hedging issues, with a focus on the practical consequences of modeling choices.
Автор: Karl-Rudolf Koch Название: Parameter Estimation and Hypothesis Testing in Linear Models ISBN: 3642084613 ISBN-13(EAN): 9783642084614 Издательство: Springer Рейтинг: Цена: 97780.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Readers will find here presentations of the Gauss-Markoff model, the analysis of variance, the multivariate model, the model with unknown variance and covariance components and the regression model as well as the mixed model for estimating random parameters.
Автор: Kubilius Kęstutis, Mishura Yuliya, Ralchenko Kostiantyn Название: Parameter Estimation in Fractional Diffusion Models ISBN: 331989031X ISBN-13(EAN): 9783319890319 Издательство: Springer Рейтинг: Цена: 111790.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion.
Автор: Boguslavskiy Josif A., Borodovsky Mark Название: Dynamic Systems Models: New Methods of Parameter and State Estimation ISBN: 3319791419 ISBN-13(EAN): 9783319791418 Издательство: Springer Рейтинг: Цена: 137200.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book demonstrates the use of polynomial approximation from the mathematical fundamentals, through algorithm development to practical applications such as aeroplane flight dynamics or biological sequence analysis. Includes illustrative worked examples.
Автор: Clifford Cohen, A Название: Parameter Estimation in Reliability and Life Span Models ISBN: 0824779800 ISBN-13(EAN): 9780824779801 Издательство: Taylor&Francis Рейтинг: Цена: 193950.00 T Наличие на складе: Есть у поставщика Поставка под заказ.
Автор: Rachev, Svetlozar T. Kim, Young Shim Bianchi, Mich Название: Financial models with levy processes and volatility clustering ISBN: 0470482354 ISBN-13(EAN): 9780470482353 Издательство: Wiley Рейтинг: Цена: 89760.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: * In this book, authors Rachev, Kim, Bianchi, and Fabozzi present readers with the notions of risk and their corresponding performance measures.
