Optimal trend estimation in geometric asset price models

MaRDI QIDQ3408699zbMATH OpenFDO

Authors Michael Weba

Publication date 15 November 2006

zbMATH Keywords

reproducing kernel Hilbert spaceOrnstein-Uhlenbeck processWiener processtrend estimationcompound Poisson processexogeneous shocksgeometric asset price model

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of functional analysis in probability theory and statistics (46N30)

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(2)

• Optimal geometric mean returns of stocks and their options
• Forecasting trends with asset prices

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