Download or read book Jump diffusion Models in Empirical Asset Pricing written by Adam Alexander Purzitsky and published by . This book was released on 2007 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: Continuous-time Markov processes are widely used to model a variety of variables in financial economics. When estimating the parameters of a continuous-time Markov model the method of choice, from a classical perspective, is maximum likelihood. However, in most cases the transition density of the process is not known in closed form and so the likelihood is uncomputable in closed form. In the first chapter of this dissertation I construct a closed form series expansion for the unknown likelihood for jump-diffusion models. In particular I can treat jump-diffusions with very little restriction on the state dependency of the jump distribution and this potentially allows for the construction of flexible models for state variables such as nominal interest rates or volatilities that have a natural finite boundary. It is well known that GARCH models, when viewed as filters and not as the data generating process, can consistently filter the unobservable volatility state of a diffusion process with stochastic volatility. However although the use of GARCH models remains widespread, if one accepts that in most applications the underlying process is likely to exhibit jumps then it is not clear what, if anything, the GARCH model is estimating. The second chapter of this dissertation shows that GARCH models retain their consistency for the diffusive volatility when the data generating process has jumps, provided that the diffusive volatility follows a diffusion. In a situation where ultra high frequency data is unavailable a GARCH type model is likely to be appropriate for volatility estimation. The result of this paper implies that in the presence of jumps the GARCH type model is still applicable provided the jumps are included in the quasi-likelihood of the time series model. Finally in the third chapter I construct a measure of "jumpiness" that does not require intra-day data and is robust to a realistic amount of error in the filtering of the diffusive volatility. This allows me to design a test for the presence of jumps that is applicable in the absence of ultra-high frequency data. An application to USD swap rate data indicates that jumps are prevalent in the yield curve and that jumps account for roughly a quarter of the variation in 10 year USD swap rates.

Download or read book An Empirical Study on the Jump diffusion Two beta Asset Pricing Model written by Hongqing Chen and published by . This book was released on 1996 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Jump diffusion Models of Asset Prices Theory and Empirical Evidence written by Jun Pan and published by . This book was released on 2000 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Performance and Asset Pricing in Markov Jump Diffusion Models written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 為了改進Black-Scholes模式的實證現象, 許多其他的模型被建議有leptokurtic特性以及波動度聚集的現象. 然而對於其他的模型分析的處理依然是一個問題. 在本論文中, 我們建議使用馬可夫跳躍擴散過程, 不僅能整合leptokurtic與波動度微笑特性, 而且能產生波動度聚集的與長記憶的現象. 然後, 我們應用Lucas的一般均衡架構計算選擇權價格, 提供均衡下當跳躍的大小服從一些特別的分配時則選擇權價格的解析解. 特別地, 考慮當跳躍的大小服從兩個情況, 破產與lognormal分配. 當馬可夫跳躍擴散模型的馬可夫鏈有兩個狀態時, 稱為轉換跳躍擴散模型, 當跳躍的大小服從lognormal分配我們得到選擇權公式. 使用轉換跳躍擴散模型選擇權公式, 我們給定一些參數下研究公式的數值極限分析以及敏感度分析.

Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-26 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Download or read book Essays on Jump Diffusion Models in Asset Pricing and on the Prediction of Aggregate Stock Returns written by Roman Frey and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Diese Dissertation besteht aus drei individuellen Aufsätzen, die jeweils eine in sich geschlossene Forschungsarbeit darstellt. Im ersten Aufsatz, "Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis was Good For", analysieren wir die out-of-sample Performance von zeitstetigen affinen und nicht affinen stochastischen Volatilitätsmodellen. Die out-of-sample Modellperformance ist eine Kennzahl mit zentraler Bedeutung für Investoren. Sie spielt unter anderem im Risikomanagement, der Asset Allocation wie auch in der Bewertung von derivativen Instrumenten, eine entscheidende Rolle. In dieser empirischen Studie, die auf täglichen Renditen des Aktienindex S&P 500 basiert, testen wir insgesamt 24 verschiedene Modellspezifikationen. Unser Testansatz evaluiert die durch die Modelle vorhergesagten Verteilungsdichten. Der entscheidende Vorteil dieser Methodik liegt darin, dass wir jeweils die gesamte modellinduzierte Dichte berücksichtigen. Unsere empirischen Resultate zeigen, dass sich die, in der Literatur häufig diskutierte, gute in-sample Modellperformance in out-of-sample Anwendungen generell nicht bestätigen lässt. Mittels eines rollierenden Zeitfensters beobachten wir, dass Modellparameter, die während einer genügend volatilen Marktphase geschätzt wurden, deutlich bessere out-of-sample Resultate liefern. Vielversprechend ist demzufolge die out-of-sample Performance, wenn die Modellparameter auf der sich kürzlich abgespielten Finanzkrise geschätzt und zur Vorhersage von Verteilungsdichten verwendet werden. Generell beobachten wir, dass zum einen affine Modelle bessere Resultate erreichen als nicht affine. Zum anderen deuten unsere Ergebnisse darauf hin, dass Modelle mit Sprüngen in den Renditen sowie Varianzen besser performen als pure Diffusionsmodelle. Der zweite Aufsatz mit dem Titel "Pricing CO2 Futures Options - Empirical In- and Out-of-Sample Performance Analysis" analys.

Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.

Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic

Download or read book Transform Analysis of Affine Jump Diffusion Processes with Applications to Asset Pricing written by Claude Rodrigue Bambe Moutsinga and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This work presents a class of models in asset pricing, whose underlying has dynamics of Affine jump diffusion type. We first present L evy processes with their properties. We then introduce Affine jump diffusion processes which are basically a particular class of L evy processes. Our motivation for these is driven by the fact that many financial models are built on them. Affine jump diffusion processes present good analytical properties that allow one to get close form formulas for a wide range of option pricing. The approach we use here is based on the paper by Duffie D, Pan J, and Singleton K. An example will show how incorporating parameters such as the volatility of the underlying asset in the model, can influence the resulting price of the financial instrument under consideration. We will also show how this class of models incorporate well known models, specially those used to model interest rates dynamics, like for instance the Vasicek model.

Download or read book Asset Pricing Under Jump Diffusion written by Jin E. Zhang and published by . This book was released on 2006 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Asset Pricing Models written by Jau-Lian Jeng and published by Springer. This book was released on 2018-03-19 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyzes the verification of empirical asset pricing models when returns of securities are projected onto a set of presumed (or observed) factors. Particular emphasis is placed on the verification of essential factors and features for asset returns through model search approaches, in which non-diversifiability and statistical inferences are considered. The discussion reemphasizes the necessity of maintaining a dichotomy between the nondiversifiable pricing kernels and the individual components of stock returns when empirical asset pricing models are of interest. In particular, the model search approach (with this dichotomy emphasized) for empirical model selection of asset pricing is applied to discover the pricing kernels of asset returns.

Download or read book Transform Analysis and Asset Pricing for Affine Jump diffusions written by Darrell Duffie and published by . This book was released on 1999 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the setting of affine' jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example applications include fixed-income pricing models, with a role for intensityy-based models of default, as well as a wide range of option-pricing applications. An illustrative example examines the implications of stochastic volatility and jumps for option valuation. This example highlights the impact on option 'smirks' of the joint distribution of jumps in volatility and jumps in the underlying asset price, through both amplitude as well as jump timing.

Download or read book Empirical Dynamic Asset Pricing written by Kenneth J. Singleton and published by Princeton University Press. This book was released on 2009-12-13 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.

Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.

Download or read book An Empirical Testing of a Jump diffusion Pricing Model with Stochastic Volatility written by Thomas More Arnold and published by . This book was released on 1998 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Intertemporal Capital Asset Pricing Model with Returns that Follow Poisson Jump diffusion Process written by Eric Bentaen and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asset Pricing with Jump diffusion Income Shocks written by Mark Freeman (producer) and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: