Download or read book Multivariate Jump Diffusion Model with Markovian Contagion written by Pablo Jose Campos de Carvalho and published by . This book was released on 2017 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset prices exhibit characteristics that significantly deviate from log-normality and display time-varying stochastics. There is ample evidence of jumps in one asset price or market leading to jumps in other assets' prices or markets. We propose a multivariate jump diffusion model with Markovian contagion to capture these asset price dynamics, where the channel of contagion is taken to periodically switch from an active to inactive state. We use a dynamic conditional correlation network approach to determine the contagion states and estimate the Markovian contagion model. Applying the model to an international equity and currency portfolio allocation shows the capabilities of the model in capturing fat tail characteristics of asset returns, as well as evaluate the extent of model risk, intra-asset class, inter-asset and inter-region contagion.

Download or read book On Markovian Short Rates in Term Structure Models Driven by Jump Diffusion Processes written by Pavel V. Gapeev and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Markov Jump diffusion Models and Decision making free Filtering written by H. A. P. Blom and published by . This book was released on 1985 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Multidimensional Diffusion Processes written by Daniel W. Stroock and published by Springer. This book was released on 2007-02-03 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [...] This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik

Download or read book A Jump diffusion Model with Stochastic Volatility and Durations written by Wei Wei and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Continuous Time Processes for Finance written by Donatien Hainaut and published by Springer Nature. This book was released on 2022-08-25 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. This last aspect is often neglected in the existing mathematical finance literature while it is crucial for risk management. The first part of this book focuses on switching regime processes that allow to model economic cycles in financial markets. After a presentation of their mathematical features and applications to stocks and interest rates, the estimation with the Hamilton filter and Markov Chain Monte-Carlo algorithm (MCMC) is detailed. A second part focuses on self-excited processes for modeling the clustering of shocks in financial markets. These processes recently receive a lot of attention from researchers and we focus here on its econometric estimation and its simulation. A chapter is dedicated to estimation of stochastic volatility models. Two chapters are dedicated to the fractional Brownian motion and Gaussian fields. After a summary of their features, we present applications for stock and interest rate modeling. Two chapters focuses on sub-diffusions that allows to replicate illiquidity in financial markets. This book targets undergraduate students who have followed a first course of stochastic finance and practitioners as quantitative analyst or actuaries working in risk management.

Download or read book Jump Diffusion Model with Asymmetry of Volatility for VaR written by 蔡明軒 and published by . This book was released on 2013 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient Hedging for a Complete Jump Diffusion Model written by Michael Kirch and published by . This book was released on 2002 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Note on Uniqueness of Parameter Identification in a Jump Diffusion Model written by Hans-Jörg Starkloff and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Some Stability Results of Parameter Identification in a Jump Diffusion Model written by Dana Düvelmeyer and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Oxford Handbook of Credit Derivatives written by Alexander Lipton and published by OUP Oxford. This book was released on 2013-01-17 with total page 704 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the late 1990s, the spectacular growth of a secondary market for credit through derivatives has been matched by the emergence of mathematical modelling analysing the credit risk embedded in these contracts. This book aims to provide a broad and deep overview of this modelling, covering statistical analysis and techniques, modelling of default of both single and multiple entities, counterparty risk, Gaussian and non-Gaussian modelling, and securitisation. Both reduced-form and firm-value models for the default of single entities are considered in detail, with extensive discussion of both their theoretical underpinnings and practical usage in pricing and risk. For multiple entity modelling, the now notorious Gaussian copula is discussed with analysis of its shortcomings, as well as a wide range of alternative approaches including multivariate extensions to both firm-value and reduced form models, and continuous-time Markov chains. One important case of multiple entities modelling - counterparty risk in credit derivatives - is further explored in two dedicated chapters. Alternative non-Gaussian approaches to modelling are also discussed, including extreme-value theory and saddle-point approximations to deal with tail risk. Finally, the recent growth in securitisation is covered, including house price modelling and pricing models for asset-backed CDOs. The current credit crisis has brought modelling of the previously arcane credit markets into the public arena. Lipton and Rennie with their excellent team of contributors, provide a timely discussion of the mathematical modelling that underpins both credit derivatives and securitisation. Though technical in nature, the pros and cons of various approaches attempt to provide a balanced view of the role that mathematical modelling plays in the modern credit markets. This book will appeal to students and researchers in statistics, economics, and finance, as well as practitioners, credit traders, and quantitative analysts

Download or read book Multivariate Diffusion Modeling written by Kilian Plank and published by . This book was released on 2007 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Simple Jump Diffusion Models With a Simple Estimation written by Marek Kolman and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two simple but practical jump diffusion models are presented. It turns out that the stock returns these model generate, lead to return densities that are Gaussian mixture densities which results into a simple estimation using historical returns data. The first model uses up/down jumps of constant jump sizes, the second model uses normally-distributed jumps.

Download or read book Initiation to the Mathematics of the Processes of Diffusion Contagion and Propagation written by J. P. Monin and published by . This book was released on 1976 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Perpetual Barrier Options in Jump diffusion Models written by Pavel V. Gapeev and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Introduction to Continuous Time Stochastic Processes written by Vincenzo Capasso and published by Springer Science & Business Media. This book was released on 2012-07-27 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Expanding on the first edition of An Introduction to Continuous-Time Stochastic Processes, this concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes. A balance of theory and applications, the work features concrete examples of modeling real-world problems from biology, medicine, industrial applications, finance, and insurance using stochastic methods. No previous knowledge of stochastic processes is required.

Download or read book Credit Risk Frontiers written by Tomasz Bielecki and published by John Wiley & Sons. This book was released on 2011-02-14 with total page 770 pages. Available in PDF, EPUB and Kindle. Book excerpt: A timely guide to understanding and implementing credit derivatives Credit derivatives are here to stay and will continue to play a role in finance in the future. But what will that role be? What issues and challenges should be addressed? And what lessons can be learned from the credit mess? Credit Risk Frontiers offers answers to these and other questions by presenting the latest research in this field and addressing important issues exposed by the financial crisis. It covers this subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, as well as the latest innovations in portfolio products and hedging and risk management techniques. Provides a coherent presentation of recent advances in the theory and practice of credit derivatives Takes into account the new products and risk requirements of a post financial crisis world Contains information regarding various aspects of the credit derivative market as well as cutting edge research regarding those aspects If you want to gain a better understanding of how credit derivatives can help your trading or investing endeavors, then Credit Risk Frontiers is a book you need to read.