Estimation of semiparametric locally stationary diffusion models (Q528037): Difference between revisions
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| Property / author: Oliver B. Linton / rank | |||
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| Property / Mathematics Subject Classification ID: 62M05 / rank | |||
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| Property / Mathematics Subject Classification ID: 60J60 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G30 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6714754 / rank | |||
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| Property / zbMATH Keywords | |||
diffusion processes | |||
| Property / zbMATH Keywords: diffusion processes / rank | |||
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local stationarity | |||
| Property / zbMATH Keywords: local stationarity / rank | |||
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term structure dynamics | |||
| Property / zbMATH Keywords: term structure dynamics / rank | |||
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density matching | |||
| Property / zbMATH Keywords: density matching / rank | |||
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derivative pricing | |||
| Property / zbMATH Keywords: derivative pricing / rank | |||
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Revision as of 08:08, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of semiparametric locally stationary diffusion models |
scientific article |
Statements
Estimation of semiparametric locally stationary diffusion models (English)
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12 May 2017
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diffusion processes
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local stationarity
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term structure dynamics
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density matching
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derivative pricing
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