Search Results - subject:"Characteristic function"

Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"

Xu, Dinghai; Knight, John; Wirjanto, Tony S. - Department of Economics, University of Waterloo - 2008

between the two innovations. In addition, it proposes a novel estimation methodology based on the empirical characteristic … function. A set of Monte Carlo experiments as well as empirical applications based on the IBM and Boeing transaction data are …

Persistent link: https://www.econbiz.de/10005543349

Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes.

Taufer, Emanuele - Dipartimento di Informatica e Studi Aziendali, … - 2008

empirical characteristic function. Extensions to OU-based stochastic volatility models are provided. … exploits the self-decomposability of the marginal laws of OU processes to provide explicit expressions of the characteristic … function which can be applied to several models as well as to develop eâˆšÇÂ¬Â±cient estimation techniques based on the …

Persistent link: https://www.econbiz.de/10005036123

Statistical Properties and Economic Implications of Jump-Diffusion Processes with Shot-Noise Effects

Moreno, Manuel; Serrano, Pedro Jose; Stute, Winfried - Departamento de Economía de la Empresa, Universidad … - 2008

This paper analyzes the Shot-Noise Jump-Diffusion model of Altmann, Schmidt and Stute (2008), which introduces a new situation where the effects of the arrival of rare, shocking information to the financial markets may fade away in the long run. We analyze several economic implications of the...

Persistent link: https://www.econbiz.de/10005111009

Continuous empirical characteristic function estimation of mixtures of normal parameters

Xu, Dinghai; Knight, John L. - 2008

Persistent link: https://www.econbiz.de/10003975373

On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model

Griebsch, Susanne; Wystup, Uwe - 2008

We focus on closed-form option pricing in Heston s stochastic volatility model, in which closed-form formulas exist only for few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this approach and derive multivariate characteristic...

Persistent link: https://www.econbiz.de/10011293921

On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model

Griebsch, Susanne; Wystup, Uwe - 2008

We focus on closed-form option pricing in Heston's stochastic volatility model, in which closed-form formulas exist only for few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this approach and derive multivariate characteristic...

Persistent link: https://www.econbiz.de/10010301701

Crude Oil Prices; Trends and Forecast

Krichene, Noureddine - International Monetary Fund (IMF) - 2008

Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward consistently rising prices. Short-term forecasting would imply persistence of...

Persistent link: https://www.econbiz.de/10005825666

On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model

Griebsch, Susanne; Wystup, Uwe - Frankfurt School of Finance and Management - 2008

We focus on closed-form option pricing in Hestons stochastic volatility model, in which closed-form formulas exist only for few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this approach and derive multivariate characteristic...

Persistent link: https://www.econbiz.de/10009642583

Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution.

Taufer, Emanuele; Leonenko, Nikolai - Dipartimento di Informatica e Studi Aziendali, … - 2007

(self-decomposable) marginal distribution. The method proposed, based on inversion of the characteristic function …

Persistent link: https://www.econbiz.de/10005036143

COOPERATIVE GAMES: CORE AND SHAPLEY VALUE

Serrano, Roberto - Centro de Estudios Monetarios y Financieros (CEMFI) - 2007

This article describes the basic elements of the cooperative approach to game theory, one of the two counterparts of the discipline. After the presentation of some basic definitions, the focus will be on the core and the Shapley value, two of the most central solution concepts in cooperative...

Persistent link: https://www.econbiz.de/10005611899