Download or read book The Effects of Random and Discrete Sampling when Estimating Continuous time Diffusions written by Yacine Aït-Sahalia and published by . This book was released on 2001 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: High-frequency financial data are not only discretely sampled in time but the time separating successive observations is often random. We analyze the consequences of this dual feature of the data when estimating a continuous-time model. In particular, we measure the additional effects of the randomness of the sampling intervals over and beyond those due to the discreteness of the data. We also examine the effect of simply ignoring the sampling randomness. We find that in many situations the randomness of the sampling has a larger impact than the discreteness of the data.
Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections
Download or read book Statistical Methods for Stochastic Differential Equations written by Mathieu Kessler and published by CRC Press. This book was released on 2012-05-17 with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt: The seventh volume in the SemStat series, Statistical Methods for Stochastic Differential Equations presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible to both new students and seasoned researchers, each self-contained chapter starts with introductions to the topic at hand and builds gradually towards discussing recent research. The book covers Wiener-driven equations as well as stochastic differential equations with jumps, including continuous-time ARMA processes and COGARCH processes. It presents a spectrum of estimation methods, including nonparametric estimation as well as parametric estimation based on likelihood methods, estimating functions, and simulation techniques. Two chapters are devoted to high-frequency data. Multivariate models are also considered, including partially observed systems, asynchronous sampling, tests for simultaneous jumps, and multiscale diffusions. Statistical Methods for Stochastic Differential Equations is useful to the theoretical statistician and the probabilist who works in or intends to work in the field, as well as to the applied statistician or financial econometrician who needs the methods to analyze biological or financial time series.
Download or read book Stochastic Analysis and Applications to Finance written by Tusheng Zhang and published by World Scientific. This book was released on 2012 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. It covers the topics ranging from Markov processes, backward stochastic differential equations, stochastic partial differential equations, and stochastic control, to risk measure and risk theory.
Download or read book Stochastic Finance written by Albert N. Shiryaev and published by Springer Science & Business Media. This book was released on 2006-06-03 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the world’s financial institutions. Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques.
Download or read book Contemporary Quantitative Finance written by Carl Chiarella and published by Springer Science & Business Media. This book was released on 2010-07-01 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains a collection of papers dedicated to Professor Eckhard Platen to celebrate his 60th birthday, which occurred in 2009. The contributions have been written by a number of his colleagues and co-authors. All papers have been - viewed and presented as keynote talks at the international conference “Quantitative Methods in Finance” (QMF) in Sydney in December 2009. The QMF Conference Series was initiated by Eckhard Platen in 1993 when he was at the Australian - tional University (ANU) in Canberra. Since joining UTS in 1997 the conference came to be organised on a much larger scale and has grown to become a signi?cant international event in quantitative ?nance. Professor Platen has held the Chair of Quantitative Finance at the University of Technology, Sydney (UTS) jointly in the Faculties of Business and Science since 1997. Prior to this appointment, he was the Founding Head of the Centre for Fin- cial Mathematics at the Institute of Advanced Studies at ANU, a position to which he was appointed in 1994. Eckhard completed a PhD in Mathematics at the Technical University in Dresden in 1975 and in 1985 obtained his Doctor of Science degree (Habilitation degree in the German system) from the Academy of Sciences in Berlin where he headed the Stochastics group at the Weierstrass Institute.
Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Download or read book Recent Advances in Applied Probability written by Ricardo Baeza-Yates and published by Springer Science & Business Media. This book was released on 2006-02-28 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied probability is a broad research area that is of interest to scientists in diverse disciplines in science and technology, including: anthropology, biology, communication theory, economics, epidemiology, finance, geography, linguistics, medicine, meteorology, operations research, psychology, quality control, sociology, and statistics. Recent Advances in Applied Probability is a collection of survey articles that bring together the work of leading researchers in applied probability to present current research advances in this important area. This volume will be of interest to graduate students and researchers whose research is closely connected to probability modelling and their applications. It is suitable for one semester graduate level research seminar in applied probability.
Download or read book Martingale Methods in Financial Modelling written by Marek Musiela and published by Springer Science & Business Media. This book was released on 2006-01-20 with total page 721 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling Includes a new chapter devoted to volatility risk The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-04-17 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Download or read book Tools and Algorithms for the Construction and Analysis of Systems written by Marsha Chechik and published by Springer. This book was released on 2016-04-08 with total page 958 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the proceedings of the 22nd International Conference on Tools and Algorithms for the Construction and Analysis of Systems, TACAS 2016, which took place in Eindhoven, The Netherlands, in April 2016, held as Part of the European Joint Conferences on Theory and Practice of Software, ETAPS 2016. The 44 full papers presented in this volume were carefully reviewed and selected from 175 submissions. They were organized in topical sections named: abstraction and verification; probabilistic and stochastic systems; synthesis; tool papers; concurrency; tool demos; languages and automata; security; optimization; and competition on software verification – SV-COMP.
Download or read book Modelling Irregularly Spaced Financial Data written by Nikolaus Hautsch and published by Springer Science & Business Media. This book was released on 2011-01-07 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a methodological framework to model univariate and multivariate irregularly spaced financial data. It gives a thorough review of recent developments in the econometric literature, puts forward existing approaches and opens up new directions. The book presents alternative ways to model so-called financial point processes using dynamic duration as well as intensity models and discusses their ability to account for specific features of point process data, like the occurrence of time-varying covariates, censoring mechanisms and multivariate structures. Moreover, it illustrates the use of various types of financial point processes to model financial market activity from different viewpoints and to construct volatility and liquidity measures under explicit consideration of the passing trading time.
Download or read book Parameter Estimation in Stochastic Differential Equations written by Jaya P. N. Bishwal and published by Springer. This book was released on 2007-09-26 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: Parameter estimation in stochastic differential equations and stochastic partial differential equations is the science, art and technology of modeling complex phenomena. The subject has attracted researchers from several areas of mathematics. This volume presents the estimation of the unknown parameters in the corresponding continuous models based on continuous and discrete observations and examines extensively maximum likelihood, minimum contrast and Bayesian methods.
Download or read book Advances in Financial Planning and Forecasting New Series Vol 5 written by Cheng F. Lee and published by Center for PBBEFR & Airiti Press. This book was released on 2012-12-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Financial Planning and Froecasting (New Series) is an annual publication designed to disseminate developments in the area of financial analysis, planning, and forecasting. The publication is a froum for statistical, quantitative, and accounting analyses of issues in financial analysis and planning in terms of finance, accounting, and economic data.
Download or read book Working Paper Series written by and published by . This book was released on 2003 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Energy Policy and Security written by Walter Leal Filho and published by Springer Science & Business Media. This book was released on 2013-09-03 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite efforts to increase renewables, the global energy mix is still likely to be dominated by fossil-fuels in the foreseeable future, particularly gas for electricity and oil for land, air and sea transport. The reliance on depleting conventional oil and natural gas resources and the geographic distribution of these reserves can have geopolitical implications for energy importers and exporters. Global Energy Policy and Security examines the security of global and national energy supplies, as well as the sensitivity and impacts of sustainable energy policies which emphasize the various political, economic, technological, financial and social factors that influence energy supply, demand and security. Multidisciplinary perspectives provide the interrelated topics of energy security and energy policy within a rapidly changing socio-political and technological landscape during the 21st century. Included are two main types of interdisciplinary papers. One set of papers deals with technical aspects of energy efficiency, renewable energy and the use of tariffs. The other set of papers focuses on social, economic or political issues related to energy security and policy, also describing research, practical projects and other concrete initiatives being performed in different parts of the world. This book will prove useful to all those students and researchers interested in the connections between energy production, energy use, energy security and the role of energy policies.
Download or read book Identification and Estimation of Discrete Games of Complete Information written by Patrick L. Bajari and published by . This book was released on 2004 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: We discuss the identification and estimation of discrete games of complete information. Following Bresnahan and Reiss (1990, 1991), a discrete game is a generalization of a standard discrete choice model where utility depends on the actions of other players. Using recent algorithms to compute all of the Nash equilibria to a game, we propose simulation-based estimators for static, discrete games. With appropriate exclusion restrictions about how covariates enter into payoffs and influence equilibrium selection, the model is identified with only weak parametric assumptions. Monte Carlo evidence demonstrates that the estimator can perform well in moderately-sized samples. As an application, we study the strategic decision of firms in spatially-separated markets to establish a presence on the Internet.
