Efficient and flexible model-based clustering of jumps in diffusion processes

DOI10.1016/J.JKSS.2019.05.002MaRDI QIDQ2325322zbMATH OpenOpenAlexFDO

Authors Bokgyeong Kang, Taeyoung Park

Publication date 25 September 2019

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2019.05.002

zbMATH Keywords

Bayesian nonparametric inferencedensity estimationjump-diffusion processmultivariate time-seriesnested Dirichlet process mixturespartially collapsed Gibbs samplertime series data

Mathematics Subject Classification ID

Diffusion processes (60J60) Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A jump-diffusion model for option pricing
• Analysis of binary longitudinal data with time-varying effects
• Analysis of Poisson varying-coefficient models with autoregression
• Bayesian semiparametric inference on functional relationships in linear mixed models
• scientific article; zbMATH DE number 774881 (Why is no real title available?)
• Inference from iterative simulation using multiple sequences
• Jump diffusion models and the evolution of financial prices
• Maximum likelihood estimation of the double exponential jump-diffusion process
• Option pricing when underlying stock returns are discontinuous
• Partially Collapsed Gibbs Samplers
• Partially Collapsed Gibbs Sampling for Linear Mixed-effects Models
• The Collapsed Gibbs Sampler in Bayesian Computations with Applications to a Gene Regulation Problem
• The Nested Dirichlet Process
• The pricing of options and corporate liabilities

Cited in

(1)

• Bayesian inference for the jump-diffusion model with M jumps

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