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Książka Parameter Estimation in Stochastic Volatility Models Jaya P. N. Bishwal

Parameter Estimation in Stochastic Volatility Models

Autor: Jaya P. N. Bishwal
Język: Angielski
Oprawa: Twarda
Wydawca: Springer International Publishing AG
Dostępność: Dostępna u dostawcy
Wysyłamy za 10-13 dni
643.58 zł
This book develops alternative methods to estimate the unknown parameters in stochastic volatility m...

Informacje o książce

Autor
Jaya P. N. Bishwal
Język
Angielski
Oprawa
Książka - Twarda
Data wydania
2022
strony
613
EAN
9783031038600
Enbook ID
38874473
Wydawca
Springer International Publishing AG
Waga
1124
Wymiary
155 x 235 x 40

Pełny opis

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.

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