Inference for large financial systems

DOI10.1111/MAFI.12222MaRDI QIDQ5109982zbMATH OpenOpenAlexFDO

Authors Kay Giesecke, Gustavo Schwenkler, Justin A. Sirignano

Publication date 14 May 2020

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/mafi.12222

zbMATH Keywords

computational efficiencylarge interacting stochastic systemslikelihood inferencestatistical efficiency

Mathematics Subject Classification ID

Financial markets (91G15) Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• Systemic risk in interbanking networks
• Large deviations for a mean field model of systemic risk
• Large portfolio losses: A dynamic contagion model
• scientific article; zbMATH DE number 1112364
• An SPDE model for systemic risk with endogenous contagion

Cited in

(18)

• An SPDE model for systemic risk with endogenous contagion
• Nonparametric estimation for interacting particle systems: McKean-Vlasov models
• Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models
• The LAN property for McKean-Vlasov models in a mean-field regime
• Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations
• Semiparametric estimation of McKean-Vlasov SDEs
• Inference on sets in finance
• Eigenfunction Martingale Estimators for Interacting Particle Systems and Their Mean Field Limit
• Online parameter estimation for the McKean-Vlasov stochastic differential equation
• Nonparametric adaptive estimation for interacting particle systems
• Parametric inference for ergodic McKean-Vlasov stochastic differential equations
• Inference for ergodic McKean-Vlasov stochastic differential equations with polynomial interactions
• Nonparametric moment method for scalar McKean-Vlasov stochastic differential equations
• Control of McKean-Vlasov SDEs with contagion through killing at a state-dependent intensity
• Bayesian parameter estimation for partially observed McKean-Vlasov diffusions using multilevel Markov chain Monte Carlo
• Polynomial rates via deconvolution for nonparametric estimation in McKean-Vlasov SDEs
• Bayesian nonparametric inference in McKean-Vlasov models
• Pseudo almost automorphic solutions to delayed McKean-Vlasov integro-differential equations with Lévy noise and its optimal control

This page was built for publication: Inference for large financial systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5109982)