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Rounding errors and volatility estimation

Li, Yingying; Mykland, Per A. - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 478-504

Persistent link: https://www.econbiz.de/10011339292

Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing

Vetter, Mathias; Podolskij, Mark; Dette, Holger - 2004

,Xt) dt + sigma (t,Xt) dWt are discussed. The test is based on the estimation of certain integrals of the volatility function …. If the volatility function does not depend on the variable x it is known that the corresponding statistics have an … asymptotic normal distribution. However, most models of mathematical finance use a volatility function which depends on the state …

Persistent link: https://www.econbiz.de/10010296615

On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

Persistent link: https://www.econbiz.de/10011260821

An optimal stopping problem in a diffusion-type model with delay

Gapeev, Pavel V.; Reiß, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005

We present an explicit solution to an optimal stopping problem in a model described by a stochastic delay differential equation with an exponential delay measure. The method of proof is based on reducing the initial problem to a free-boundary problem and solving the latter by means of the...

Persistent link: https://www.econbiz.de/10005652779

An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems

Belomestny, Denis; Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

A new algorithm for finding value functions of finite horizon optimal stopping problems in one-dimensional diffusion models is presented. It is based on a time discretization of the corresponding integral equation. The proposed iterative procedure for solving the discretized integral equation...

Persistent link: https://www.econbiz.de/10005784858

Bayesian switching multiple disorder problems

Gapeev, Pavel V. - In: Mathematics of operations research 41 (2016) 3, pp. 1108-1124

Persistent link: https://www.econbiz.de/10011520840

The relationship between technology and diffusion process

Uchida, Yasuro - In: Journal of international business and economics : JIBE 15 (2015) 2, pp. 87-94

Persistent link: https://www.econbiz.de/10011384122

Modeling liquidation risk with occupation times

Makarov, Roman - In: International journal of financial engineering 3 (2016) 4, pp. 1-11

Persistent link: https://www.econbiz.de/10011673091

Conic martingales from stochastic integrals

Jeanblanc, Monique; Vrins, Frédéric - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 516-535

Persistent link: https://www.econbiz.de/10012166968

Numerical ross recovery for diffusion processes using a PDE approach

Sydow, Lina von; Walden, Johan - In: Applied mathematical finance 27 (2020) 1/2, pp. 46-66

Persistent link: https://www.econbiz.de/10012254095