Nonparametric Pricing of Interest Rate Derivative Securities
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Publication:4883102
DOI10.2307/2171860zbMATH Open0844.62094OpenAlexW3023340179MaRDI QIDQ4883102FDOQ4883102
Authors: Yacine Aït-Sahalia 
Publication date: 1 July 1996
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w5345.pdf
Recommendations
kernel estimationdriftoption pricingterm structure of interest ratesvolatility functionderivative securitiesshort-term interest ratebond optionsdiscrete-time samplingcontinuous-time stochastic modelsestimation of stochastic differential equations
Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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- Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
- Stein's method for invariant measures of diffusions via Malliavin calculus
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- Asymptotic nonequivalence of GARCH models and diffusions
- On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
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- Estimating the diffusion coefficient function for a diversified world stock index
- Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
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- ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
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- Estimation of semiparametric locally stationary diffusion models
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