Search Results - subject:"Stochastic Differential Equations"

Cyclical Trends in Continuous Time Models

Ercolani, Joanne S. - Department of Economics, University of Birmingham - 2007

It is undoubtedly desirable that econometric models capture the dynamic behaviour,like trends and cycles, observed in many economic processes. Building models with such capabilities has been an important objective in the continuous time econometrics literature, see for instance the cyclical...

Persistent link: https://www.econbiz.de/10005738231

ON DISCRETE SAMPLING OF TIME-VARYINGCONTINUOUS-TIME SYSTEMS

Robinson, Peter - Suntory and Toyota International Centres for Economics … - 2007

We consider a multivariate continuous time process, generated by a system of linear stochastic differential equations …, generated by a system of linear stochastic differential equations, driven by white noise and involving coefficients that …. Key Words and Phrases: Stochastic differential equations; time-varying coefficients; discrete sampling; irregular …

Persistent link: https://www.econbiz.de/10005151150

Estimation of the parameters of stochastic differential equations

Jeisman, Joseph Ian - 2006

Stochastic di®erential equations (SDEs) are　central to much of modern finance theory and have been widely used to model the behaviour of key variables such as the　instantaneous short-term interest rate, asset prices, asset returns and their volatility.　The explanatory and/or predictive...

Persistent link: https://www.econbiz.de/10009437988

Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2

Hurn, Stan; Jeisman, J.; Lindsay, K.A. - National Centre for Econometric Research (NCER) - 2006

Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically …

Persistent link: https://www.econbiz.de/10005766333

Currency Mismatches and Corporate Default Risk; Modeling, Measurement, and Surveillance Applications

Santos, Andre; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed...

Persistent link: https://www.econbiz.de/10005826571

IFSM representation of Brownian motion with applications to simulation

Iacus, Stefano; Torre, Davide La - Dipartimento di Economia, Management e Metodi … - 2006

stochastic differential equations. …

Persistent link: https://www.econbiz.de/10009324416

Optimal investment under multiple defaults risk: a BSDE-decomposition approach

Jiao, Ying; Kharroubi, Idris; Pham, Huyen - Université Paris-Dauphine (Paris IX) - 2013

Backward Stochastic Differential Equations (BSDEs) in Brownian filtration, and our main result is to prove under fairly general …

Persistent link: https://www.econbiz.de/10011166302

Comovement and Polarization of Interest Rate and Stock Market in Turkey

DURAN, Ahmet; IZGI, Burhaneddin - In: BIFEC Book of Abstracts & Proceedings 13 (2013) 1, pp. 161-172

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

Persistent link: https://www.econbiz.de/10010778504

Estimates for the density of functionals of SDEs with irregular drift

Kohatsu-Higa, Arturo; Makhlouf, Azmi - In: Stochastic Processes and their Applications 123 (2013) 5, pp. 1716-1728

We obtain upper and lower bounds for the density of a functional of a diffusion whose drift is bounded and measurable. The argument consists of using Girsanov’s theorem together with an Itô–Taylor expansion of the change of measure. One then applies Malliavin calculus techniques in a...

Persistent link: https://www.econbiz.de/10010875066

Semi-linear degenerate backward stochastic partial differential equations and associated forward–backward stochastic differential equations

Du, Kai; Zhang, Qi - In: Stochastic Processes and their Applications 123 (2013) 5, pp. 1616-1637

-linear degenerate BSPDEs and forward–backward stochastic differential equations (FBSDEs) is established, which can be regarded as an …

Persistent link: https://www.econbiz.de/10010875090