Pathwise Estimation and Inference for Diffusion Market Models
Author:   Nikolai Dokuchaev (Curtin University, Perth, WA, Australia) ,  Lin Yee Hin (University of Technology Sydney, Australia)
Publisher:   Taylor & Francis Ltd
ISBN:  

9781138591646


Pages:   224
Publication Date:   28 March 2019
Format:   Hardback
Availability:   In Print   Availability explained
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Pathwise Estimation and Inference for Diffusion Market Models


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Author:   Nikolai Dokuchaev (Curtin University, Perth, WA, Australia) ,  Lin Yee Hin (University of Technology Sydney, Australia)
Publisher:   Taylor & Francis Ltd
Imprint:   CRC Press
Weight:   0.526kg
ISBN:  

9781138591646


ISBN 10:   1138591645
Pages:   224
Publication Date:   28 March 2019
Audience:   College/higher education ,  General/trade ,  Tertiary & Higher Education ,  General
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

1. Introduction. 2. Background of Stochastic Analysis. 3. The Diffusion Market Model. 4. Some Special Market Models. 5. Statistical Inference from Historical Data. 6. Models for Bond Prices. 7. Review of Methods of Inverse Inference from Observed Prices. 8. Implied Volatility and Risk-Free Rate: Basic Facts. 9. Inference of Implied Parameters from Underdefined Systems. 10. Inference of Implied Parameters from Overdefined Systems. 11. Forecast of Short Rate Based on the CIR Model.

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Author Information

Nikolai Dokuchaev is an associate professor in Mathematics and Statistics at Curtin University. His research interests include mathematical and statistical finance, stochastic analysis, PDEs, control, and signal processing. Lin Yee Hin is a practitioner in the capital market facing industry. His research interests include econometrics, non-parametric regression, and scientific computing.

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