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Parameter Estimation in Stochastic Volatility Models by Jaya P. N. Bishwal is a nonfiction available to read on EtoBox.

What is Parameter Estimation in Stochastic Volatility Models about?

This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided. Erscheinungsdatum: 07.08.2022

Who reads Parameter Estimation in Stochastic Volatility Models?

Author

Jaya P. N. Bishwal

Publisher

Springer International Publishing Springer

Published

2022

Language

EN

ISBN

9788303103864

Category

nonfiction

Subjects

Mathematics, Stem