Download or read book A Bayesian Time Varying Approach to Risk Neutral Density Estimation written by Roberto Casarin and published by . This book was released on 2015 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we expand the literature of risk neutral density estimation across maturities from implied volatility curves, usually estimated and interpolated through cubic smoothing splines. The risk neutral densities are computed through the second derivative as in Panigirtzoglou and Skiadopoulos (2004), which we extend through a Bayesian approach to the problem, featuring: (1) an extension to a multivariate setting across maturities and over time; (2) a flexible estimation approach for the smoothing parameter, traditionally assumed common to all assets, known and fixed across maturities and time, but now potentially different between assets and maturities, and over time; and (3) information borrowing about the implied curves and risk neutral densities not only across different option maturities, but also dynamically.

Download or read book A Bayesian Approach to Estimate the Time Varying Security Beta written by Cheng F. Lee and published by . This book was released on 1978 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Bayesian Approach to Estimation of Time varying Regression Coefficients written by Alexander H. Sarris and published by . This book was released on 1973 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Oxford Handbook of Bayesian Econometrics written by John Geweke and published by Oxford University Press. This book was released on 2011-09-29 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian econometric methods have enjoyed an increase in popularity in recent years. Econometricians, empirical economists, and policymakers are increasingly making use of Bayesian methods. This handbook is a single source for researchers and policymakers wanting to learn about Bayesian methods in specialized fields, and for graduate students seeking to make the final step from textbook learning to the research frontier. It contains contributions by leading Bayesians on the latest developments in their specific fields of expertise. The volume provides broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing. It reviews the state of the art in Bayesian econometric methodology, with chapters on posterior simulation and Markov chain Monte Carlo methods, Bayesian nonparametric techniques, and the specialized tools used by Bayesian time series econometricians such as state space models and particle filtering. It also includes chapters on Bayesian principles and methodology.

Download or read book Bayesian Bandwidth Selection in Nonparametric Time varying Coefficient Models written by Tingting Cheng and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Option Implied Risk Neutral Distributions and Risk Aversion written by Jens Carsten Jackwerth and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bayesian Shrinkage Estimation of Time varying Covariance Matrices in Financial Time Series written by Wing Ki Liu and published by . This book was released on 2018 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bayesian Mixture Models for Spectral Density Estimation written by Annalisa Cadonna and published by . This book was released on 2017 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a novel Bayesian modeling approach to spectral density estimation for multiple time series. Considering first the case of non-stationary time series, the log-periodogram of each series is modeled as a mixture of Gaussian distributions with frequency-dependent weights and mean functions. The implied model for the log-spectral density is a mixture of linear mean functions with frequency-dependent weights. The mixture weights are built through successive differences of a logit-normal distribution function with frequency-dependent parameters. Building from the construction for a single log-spectral density, we develop a hierarchical extension for multiple stationary time series. Specifically, we set the mean functions to be common to all log-spectral densities and model time series specific mixtures through the parameters of the logit-normal distribution. In addition to accommodating flexible spectral density shapes, a practically important feature of the proposed formulation is that it allows for ready posterior simulation through a Gibbs sampler with closed form full conditional distributions for all model parameters. We then extend the model to multiple locally stationary time series, a particular class of non-stationary time series, making it suitable for the analysis of time series with spectral characteristics that vary slowly with time. The modeling approach is illustrated with different types of simulated datasets, and used for spectral analysis of multichannel electroencephalographic recordings (EEGs), which provides a key motivating application for the proposed methodology.

Download or read book Bayesian Analysis in Statistics and Econometrics written by Donald A. Berry and published by John Wiley & Sons. This book was released on 1996 with total page 610 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a definitive work that captures the current state of knowledge of Bayesian Analysis in Statistics and Econometrics and attempts to move it forward. It covers such topics as foundations, forecasting inferential matters, regression, computation and applications.

Download or read book Handbooks in Operations Research and Management Science Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.

Download or read book Bayesian Methods in Finance written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2008-02-13 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian Methods in Finance provides a detailed overview of the theory of Bayesian methods and explains their real-world applications to financial modeling. While the principles and concepts explained throughout the book can be used in financial modeling and decision making in general, the authors focus on portfolio management and market risk management—since these are the areas in finance where Bayesian methods have had the greatest penetration to date.

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1989 with total page 1134 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Modeling Under Non Gaussian Distributions written by Eric Jondeau and published by Springer Science & Business Media. This book was released on 2007-04-05 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.

Download or read book Estimating State Price Densities by Hermite Polynomials written by Paolo Guasoni and published by . This book was released on 2004 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bayesian Methods in Pharmaceutical Research written by Emmanuel Lesaffre and published by CRC Press. This book was released on 2020-04-15 with total page 547 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the early 2000s, there has been increasing interest within the pharmaceutical industry in the application of Bayesian methods at various stages of the research, development, manufacturing, and health economic evaluation of new health care interventions. In 2010, the first Applied Bayesian Biostatistics conference was held, with the primary objective to stimulate the practical implementation of Bayesian statistics, and to promote the added-value for accelerating the discovery and the delivery of new cures to patients. This book is a synthesis of the conferences and debates, providing an overview of Bayesian methods applied to nearly all stages of research and development, from early discovery to portfolio management. It highlights the value associated with sharing a vision with the regulatory authorities, academia, and pharmaceutical industry, with a view to setting up a common strategy for the appropriate use of Bayesian statistics for the benefit of patients. The book covers: Theory, methods, applications, and computing Bayesian biostatistics for clinical innovative designs Adding value with Real World Evidence Opportunities for rare, orphan diseases, and pediatric development Applied Bayesian biostatistics in manufacturing Decision making and Portfolio management Regulatory perspective and public health policies Statisticians and data scientists involved in the research, development, and approval of new cures will be inspired by the possible applications of Bayesian methods covered in the book. The methods, applications, and computational guidance will enable the reader to apply Bayesian methods in their own pharmaceutical research.

Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School

Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics