Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions

DOI10.1145/2834115MaRDI QIDQ5270763zbMATH OpenOpenAlexWikidataFDO

Authors M. Escobar, Benedikt Rudolph, R. Zagst

Publication date 30 June 2017

Published in ACM Transactions on Mathematical Software (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/2834115

zbMATH Keywords

characteristic functioncontinuous timecontinuum of moment conditionsestimationprincipal component processstochastic covarianceWishart process

Mathematics Subject Classification ID

Packaged methods for numerical algorithms (65Y15)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A comparison of biased simulation schemes for stochastic volatility models
• A theory of the term structure of interest rates
• Continuous Time Wishart Process for Stochastic Risk
• Derivative pricing with Wishart multivariate stochastic volatility
• Efficient estimation of general dynamic models with a continuum of moment conditions
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
• Estimation of affine asset pricing models using the empirical characteristic function
• Financial modeling under non-Gaussian distributions.
• Generalization of GMM to a continuum of moment conditions
• scientific article; zbMATH DE number 758455 (Why is no real title available?)
• Large Sample Properties of Generalized Method of Moments Estimators
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Modeling and Forecasting Realized Volatility
• Option pricing when correlations are stochastic: an analytical framework
• Pricing a CDO on stochastically correlated underlyings
• Pricing of mountain range derivatives under a principal component stochastic volatility model
• Spectral GMM estimation of continuous-time processes
• The pricing of options and corporate liabilities
• Wishart processes

Cited in

(5)

• Dynamic derivative strategies with stochastic interest rates and model uncertainty
• Algorithm 963
• Optimal investment under multi-factor stochastic volatility
• International portfolio choice under multi-factor stochastic volatility
• A stochastic volatility factor model of Heston type. Statistical properties and estimation

Describes a project that uses

Uses Software

• Matlab

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