Density approximations for multivariate affine jump-diffusion processes

DOI10.1016/j.jeconom.2012.12.003zbMath1284.62110arXiv1104.5326OpenAlexW3124382693MaRDI QIDQ2442452

Paul Schneider, Damir Filipović, Eberhard Mayerhofer

Publication date: 3 April 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.5326

zbMATH Keywords

asymptotic expansionorthogonal polynomialsaffine processesdensity approximation

Mathematics Subject Classification ID

Related Items (44)

Generalized moment estimation of stochastic differential equations ⋮ Estimating jump-diffusions using closed-form likelihood expansions ⋮ PRICING ASIAN OPTIONS WITH CORRELATORS ⋮ Moment formulas for multitype continuous state and continuous time branching process with immigration ⋮ Polynomial diffusions and applications in finance ⋮ Orthogonal expansions for VIX options under affine jump diffusions ⋮ Affine Point Processes: Approximation and Efficient Simulation ⋮ The Jacobi stochastic volatility model ⋮ Stationarity and Ergodicity for an Affine Two-Factor Model ⋮ Error bounds for the perturbation solution of the transition density under a multi-factor CIR term structure model with weak mean-reversion effect ⋮ Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models ⋮ Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes ⋮ Maximum-likelihood estimation for diffusion processes via closed-form density expansions ⋮ Valuing variable annuity guarantees on multiple assets ⋮ A moment-based analytic approximation of the risk-neutral density of American options ⋮ From bond yield to macroeconomic instability: a parsimonious affine model ⋮ Smoothness of continuous state branching with immigration semigroups ⋮ Jacobi stochastic volatility factor for the LIBOR market model ⋮ A general closed form option pricing formula ⋮ Coupling methods and exponential ergodicity for two‐factor affine processes ⋮ Regularity of transition densities and ergodicity for affine jump‐diffusions ⋮ Volterra square-root process: stationarity and regularity of the law ⋮ Existence of densities for multi-type continuous-state branching processes with immigration ⋮ Polynomial Jump-Diffusion Models ⋮ Technical Note—Options Portfolio Selection ⋮ It only takes a few moments to hedge options ⋮ A new delta expansion for multivariate diffusions via the Itô-Taylor expansion ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations ⋮ A Monte Carlo multi-asset option pricing approximation for general stochastic processes ⋮ Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations ⋮ Estimating functions for jump-diffusions ⋮ Efficient estimation and filtering for multivariate jump-diffusions ⋮ On the anisotropic stable JCIR process ⋮ Analytical representations for the basic affine jump diffusion ⋮ Simulated likelihood estimators for discretely observed jump-diffusions ⋮ Linear credit risk models ⋮ Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts ⋮ Exponential Ergodicity of the Jump-Diffusion CIR Process ⋮ A least squares-type density estimator using a polynomial function ⋮ Realized Laplace transforms for estimation of jump diffusive volatility models ⋮ NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY ⋮ On the boundary behavior of multi-type continuous-state branching processes with immigration ⋮ Asian option pricing with orthogonal polynomials

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Saddlepoint approximations for continuous-time Markov processes
• Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
• On Cox processes and credit risky securities
• Affine processes on positive semidefinite matrices
• Polynomial processes and their applications to mathematical finance
• Term-structure models. A graduate course
• On the shapes of bilateral gamma densities
• Wishart processes
• Affine processes and applications in finance
• Stochastic processes and orthogonal polynomials
• Closed-form likelihood expansions for multivariate diffusions
• Bilateral gamma distributions and processes in financial mathematics
• Gewöhnliche Differentialungleichungen mit quasimonoton wachsenden Funktionen in topologischen Vektorräumen. (Ordinary differential equations with quasi-monotone increasing functions in topological vector spaces)
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• A Theory of the Term Structure of Interest Rates
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• A multifactor volatility Heston model
• Computational techniques for basic affine models of portfolio credit risk
• On Polynomial Expansions of Second-Order Distributions
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Estimation of affine asset pricing models using the empirical characteristic function

This page was built for publication: Density approximations for multivariate affine jump-diffusion processes