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Long-Term Behaviors and Implied Volatilities in General Affine Diffusion Models
Long-Term Behaviors Implied Volatilities General Affine Diffusion Models
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2010/10/22
This paper considers asset price dynamics of which discounted return is modeled by a multi-dimensional affine diffusion process. By analyzing the Riccati system, which is associated with the affine p...
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
Asset management risk-sensitive stochastic control jump diffusion processes
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2010/10/19
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by Bielecki, Pliska, ...
Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models
Moment Explosions Long-Term Behavior Affine Stochastic Volatility Models
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2010/12/13
We consider a class of asset pricing models, where the risk-neutral joint process of log-price and its stochastic variance is an affine process in the sense of Duffie, Filipovic and Schachermayer [20...
Estimating affine multifactor term structure models using closed-form likelihood expansions
Term structure Multifactor Interest rates Affine Closed-form maximum-likelihood
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2014/3/13
We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nineDai and Singlet...