Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds

DOI10.1515/JIIP.2007.028zbMath1203.91320OpenAlexW2111068966MaRDI QIDQ5432657

Maria Cristina Recchioni, Francesco Zirilli, Francesca Mariani, Lorella Fatone

Publication date: 17 December 2007

Published in: jiip (Search for Journal in Brave)

Full work available at URL: http://www2.econ.univpm.it/servizi/hpp/recchioni/finance/w5

zbMATH Keywords

waveletsstochastic differential equationmaximum likelihood estimationinverse problem for PDE

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Inverse problems for PDEs (35R30) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Dynamical systems in optimization and economics (37N40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Cites Work

• A quadratically convergent method for linear programming
• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
• Multiresolution Approximations and Wavelet Orthonormal Bases of L 2 (R)
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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