Pathwise estimation and inference for diffusion market models

DOI10.1201/9780429488429MaRDI QIDQ3119424zbMATH OpenOpenAlexFDO

Authors Lin-Yee Hin, Nikolai Dokuchaev

Publication date 11 March 2019

Full work available at URL https://doi.org/10.1201/9780429488429

zbMATH Keywords

calibrationdiffusion modelinterest ratemathematical financevolatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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(3)

• Identifying and estimating efficient markets models with contemporaneous instruments
• Dynamic Markov bridges and market microstructure. Theory and applications
• Parameter estimation in stochastic volatility models

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