Search Results - subject:"Transition density"

Dual process in the two-parameter Poisson–Dirichlet diffusion

Griffiths, Robert C.; Ruggiero, Matteo; Spanò, Dario; … - 2024

Persistent link: https://www.econbiz.de/10015371980

Dual process in the two-parameter Poisson-Dirichlet diffusion

Griffiths, Robert C.; Ruggiero, Matteo; Spanò, Dario; … - 2024

Persistent link: https://www.econbiz.de/10015101097

Modeling tail dependence using stochastic volatility model

Kim, See-Woo; Ma, Yong-Ki; Necula, Ciprian - In: Computational economics 62 (2023) 1, pp. 129-147

Persistent link: https://www.econbiz.de/10014327243

Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets

Riedel, Frank; Herzberg, Frederik - Institut für Mathematische Wirtschaftsforschung, … - 2013

We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.

Persistent link: https://www.econbiz.de/10008764998

Estimating Stochastic Differential Equations Using Repeated Eigenfunction Estimation and Neural Networks

Tuncer, Ruhi - Galatasaray Üniversitesi İktisadi Araştırmalar … - 2012

using repeated eigenfunction estimation. The transition density will be estimated in a new way involving Kolmogorov …

Persistent link: https://www.econbiz.de/10010840310

Black-Scholes formulae for Asian options in local volatility models

Foschi, Paolo; Pagliarani, Stefano; Pascucci, Andrea - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2011

We develop approximate formulae expressed in terms of elementary functions for the density, the price and the Greeks of path dependent options of Asian style, in a general local volatility model. An algorithm for computing higher order approximations is provided. The proof is based on a heat...

Persistent link: https://www.econbiz.de/10011228042

Black-Scholes formulae for Asian options in local volatility models

Foschi, Paolo; Pagliarani, Stefano; Pascucci, Andrea - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2011

Persistent link: https://www.econbiz.de/10009251185

Adaptive continuous time Markov chain approximation model to general jump-diffusions

Cerrato, Mario; Lo, Chia Chun; Skindilias, Konstantinos - Department of Economics, Adam Smith Business School - 2011

methods. The Kolmogorov-Smirnov test shows that the proposed Markov chain transition density converges to the one given by the …

Persistent link: https://www.econbiz.de/10009398859

Existence of financial equilibria in continuous time with potentially complete markets

Riedel, Frank; Herzberg, Frederik - 2010

We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.

Persistent link: https://www.econbiz.de/10010285419

Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models

Kristensen, Dennis - Økonomisk Institut, Københavns Universitet - 2010

of the transition density under the relevant null and alternative. The asymptotic distribution of the estimators and …

Persistent link: https://www.econbiz.de/10008512968