Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models (Q5245899): Difference between revisions

Latest revision as of 23:47, 9 July 2024

scientific article; zbMATH DE number 6425907

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English	Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models	scientific article; zbMATH DE number 6425907

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instance of

scholarly article

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title

Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models (English)

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published in

Quantitative Finance

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publication date

16 April 2015

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zbMATH Keywords

maximum likelihood

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OU processes

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stochastic volatility

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Lévy processes

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simulation optimization

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sequential Monte Carlo

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/14697688.2013.832864

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cites work

Estimating continuous-time stochastic volatility models of the short-term interest rate

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Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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The Pricing of Options and Corporate Liabilities

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Inference in hidden Markov models.

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Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference

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Q4819702

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Sharp Propagation of Chaos Estimates for Feynman–Kac Particle Models

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Sequential Monte Carlo Methods in Practice

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Approximate discrete-time schemes for statistics of diffusion processes

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Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law

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Q3130251

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Simulation and inference for stochastic volatility models driven by Levy processes

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Q4000306

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Sensitivity Estimates from Characteristic Functions

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Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility

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Exponential forgetting and geometric ergodicity in hidden Markov models

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Bayesian hypothesis testing in latent variable models

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Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes

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Q4937701

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Asymptotic Statistics

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Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type

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Identifiers

zbMATH Open document ID

1402.91809

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DOI

10.1080/14697688.2013.832864

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5245899

@@ Property / cites work @@
+Estimating continuous-time stochastic volatility models of the short-term interest rate
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Inference in hidden Markov models.
@@ Property / cites work: Inference in hidden Markov models. / rank @@
+Normal rank
@@ Property / cites work @@
+Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
+Normal rank
@@ Property / cites work @@
+Q4819702
@@ Property / cites work: Q4819702 / rank @@
+Normal rank
@@ Property / cites work @@
+Sharp Propagation of Chaos Estimates for Feynman–Kac Particle Models
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo Methods in Practice
@@ Property / cites work: Sequential Monte Carlo Methods in Practice / rank @@
+Normal rank
@@ Property / cites work @@
+Approximate discrete-time schemes for statistics of diffusion processes
+Normal rank
@@ Property / cites work @@
+Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
+Normal rank
@@ Property / cites work @@
+Q3130251
@@ Property / cites work: Q3130251 / rank @@
+Normal rank
@@ Property / cites work @@
+Simulation and inference for stochastic volatility models driven by Levy processes
+Normal rank
@@ Property / cites work @@
+Q4000306
@@ Property / cites work: Q4000306 / rank @@
+Normal rank
@@ Property / cites work @@
+Sensitivity Estimates from Characteristic Functions
+Normal rank
@@ Property / cites work @@
+Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
+Normal rank
@@ Property / cites work @@
+Exponential forgetting and geometric ergodicity in hidden Markov models
+Normal rank
@@ Property / cites work @@
+Bayesian hypothesis testing in latent variable models
+Normal rank
@@ Property / cites work @@
+Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Statistics
@@ Property / cites work: Asymptotic Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
+Normal rank