Search Results - subject:"Stochastic Differential Equations"

Expected a posteriori estimation in financial applications

Mazzoni, Thomas - 2008

method for online estimation and prediction of states and parameters of nonlinear stochastic differential equations. In this … Stochastic differential equations (SDEs) are an inherent part of recent financial models. Especially diffusion problems, which …

Persistent link: https://www.econbiz.de/10003699961

Application of the generalized method of moments for estimating continuous-time models of U.S. short-term interest rates

Cserna, Balázs - 2008

We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find that an alternative estimation based on NOWMAN (1997)...

Persistent link: https://www.econbiz.de/10003747325

Comovement and Polarization of Interest Rate and Stock Market in Turkey

Duran, Ahmet; Izgi, Burhaneddin - In: BIFEC Book of Abstracts & Proceedings 1 (2014) 1, pp. 161-172

situations. We present extensive simulations using numerical solutions of the stochastic differential equations. Heston …

Persistent link: https://www.econbiz.de/10010779961

Comovement and Polarization of Interest Rate and Stock Market in Turkey

Duran, Ahmet; Izgi, Burhaneddin - In: BIFEC Book of Abstracts & Proceedings 1 (2014) 2, pp. 130-141

situations. We present extensive simulations using numerical solutions of the stochastic differential equations. Heston …

Persistent link: https://www.econbiz.de/10010781912

Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps

Quenez, Marie-Claire; Sulem, Agnès - In: Stochastic Processes and their Applications 124 (2014) 9, pp. 3031-3054

We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential … Equations (BSDEs) with jumps and its relation with reflected BSDEs (RBSDEs). The financial position is given by an RCLL adapted …

Persistent link: https://www.econbiz.de/10010785364

Backward stochastic differential equations associated to jump Markov processes and applications

Confortola, Fulvia; Fuhrman, Marco - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 289-316

In this paper we study backward stochastic differential equations (BSDEs) driven by the compensated random measure …

Persistent link: https://www.econbiz.de/10010875081

Generalized volatility-stabilized processes

Picková, Radka - In: Annals of Finance 10 (2014) 1, pp. 101-125

construct a weak solution of the underlying system of stochastic differential equations. In particular, we express the solution …

Persistent link: https://www.econbiz.de/10010989108

Importance sampling for Kolmogorov backward equations

Singer, Hermann - In: AStA Advances in Statistical Analysis 98 (2014) 4, pp. 345-369

The solution of the Kolmogorov backward equation is expressed as a functional integral by means of the Feynman–Kac formula. The expectation value is approximated as a mean over trajectories. In order to reduce the variance of the estimate, importance sampling is utilized. From the optimal...

Persistent link: https://www.econbiz.de/10010949834

BSDEs under partial information and financial applications

Ceci, Claudia; Cretarola, Alessandra; Russo, Francesco - In: Stochastic Processes and their Applications 124 (2014) 8, pp. 2628-2653

In this paper we provide existence and uniqueness results for the solution of BSDEs driven by a general square-integrable martingale under partial information. We discuss some special cases where the solution to a BSDE under restricted information can be derived by that related to a problem of a...

Persistent link: https://www.econbiz.de/10011065037

A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization

Pham, Huyên; Langrené, Nicolas; Kharroubi, Idris - Université Paris-Dauphine (Paris IX) - 2014

We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with …

Persistent link: https://www.econbiz.de/10011072311