搜索结果: 1-14 共查到“经济学 Diffusions”相关记录14条 . 查询时间(0.125 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.
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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
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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
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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
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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...
Large systems of diffusions interacting through their ranks
diffusions interacting ranks
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2010/10/21
We study the limiting behaviour of the empirical measure of a system of diffusions interacting through their ranks when the number of diffusions tends to infinity. We prove that the limiting dynamics ...
Exact Simulation of Bessel Diffusions
Squared Bessel process bridge sampling first hitting time CIR and CEV diffusion models
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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
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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
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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
Likelihood Inference Diffusions A Survey
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2014/3/13
Likelihood Inference for Diffusions: A Survey.
CLOSED-FORM LIKELIHOOD EXPANSIONS FOR MULTIVARIATE DIFFUSIONS
Diffusions likelihood expansions discrete observations
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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
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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
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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
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2014/3/13
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach.
Transition Densities for Interest Rate and Other Nonlinear Diffusions
Transition Densities Interest Rate Other Nonlinear Diffusions
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2014/3/13
Transition Densities for Interest Rate and Other Nonlinear Diffusions.