Parameter Estimation in Stochastic Volatility Models
Springer International Publishing (Verlag)
978-3-031-03860-0 (ISBN)
Stochastic Volatility Models: Methods of Pricing, Hedging and Estimation.- Sequential Monte Carlo Methods.- Parameter Estimation in the Heston Model.- Fractional Ornstein-Uhlenbeck Processes, Levy-Ornstein-Uhlenbeck Processes and Fractional Levy-Ornstein-Uhlenbeck Processes.- Inference for General Semimartingales and Selfsimilar Processes.- Estimation in Gamma-Ornstein-Uhlenbeck Stochastic Volatility Model.- Berry-Esseen Inequalities for the Functional Ornstein-Uhlenbeck-Inverse-Gaussian Process.- Maximum Quasi-likelihood Estimation in Fractional Levy Stochastic Volatility Model.- Estimation in Barndorff-Neilsen-Shephard Ornstein-Uhlenbeck Stochastic Volatility Model.- Parameter Estimation in Student Ornstein-Uhlenbeck Model.- Berry-Esseen Asymptotics for Pearson Diffusions.- Bayesian Maximum Likelihood Estimation in Fractional Stochastic Volatility Models.- Berry-Esseen-Stein-Malliavin Theory for Fractional Ornstein-Uhlenbeck Process.- Approximate Maximum Likelihood Estimation for Sub-fractional Hybrid Stochastic Volatility Model.- Appendix.
Erscheinungsdatum | 09.08.2022 |
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Zusatzinfo | XXX, 613 p. |
Verlagsort | Cham |
Sprache | englisch |
Maße | 155 x 235 mm |
Gewicht | 1124 g |
Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
Schlagworte | approximate maximum likelihood method • Asymptotic Theory • Berry-Esseen bounds • Discrete Observations • Fractional Brownian motion • fractional Levy poses • High Frequency Data • Ito stochastic differential equation • Jumps • Long Memory • minimum contrast method • Parameter Estimation • partially observed models • Stochastic volatility model |
ISBN-10 | 3-031-03860-6 / 3031038606 |
ISBN-13 | 978-3-031-03860-0 / 9783031038600 |
Zustand | Neuware |
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