Pathwise estimation and inference for diffusion market models. ([2019])

• Record Type: Book
• Further Information: Note: Nikolai Dokuchaev, Lin Yee Hin.
• Authors: Dokuchaev, Nikolai; Hin, Lin Yee
• Contents: 1.3.3 Some explicit solutions for Ito equations1.3.4 Diffusion Markov processes and related parabolic equations; 1.3.5 Martingale representation theorem; 1.3.6 Change of measure and Girsanov theorem; 2: Some background on diffusion market models; 2.1 Continuous time model for stock price; 2.2 Continuous time bond-stock market model; 2.3 Discounted wealth and stock prices; 2.4 Risk-neutral measure; 2.5 Replicating strategies; 2.6 Arbitrage possibilities and the arbitrage-free market; 2.7 The case of a complete market; 2.8 Completeness of the Black-Scholes model; 2.9 Option pricing 2.9.1 Options and their prices2.9.2 Option pricing for a complete market; 2.9.3 Black-Scholes formula; 2.10 Pricing for an incomplete market; 2.11 A multi-stock market model; 3: Some special market models; 3.1 Mean-reverting market model; 3.1.1 Basic properties of a mean-reverting model; 3.1.2 Absence of arbitrage and the Novikov condition; 3.1.3 Proofs; 3.2 A market model with delay in coefficients; 3.2.1 Existence, regularity, and non-arbitrage properties; 3.2.2 Time discretization and restrictions on growth; 3.3 A market model with stochastic numéraire; 3.3.1 Model setting 4.2.2 Monte Carlo simulation of the process with delay4.2.3 Examples for dependence of volatility on sampling frequency for historical data; 4.2.4 Matching delay parameters for historical data; 4.3 Inference for diffusion parameters for CIR-type models; 4.3.1 The underlying continuous time model; 4.3.2 A representation theorem for the diffusion coefficient; 4.3.3 Estimation based on the representation theorem; 4.3.4 Numerical experiments; 4.3.5 On the consistency of the method; 4.3.6 Some properties of the estimates; 4.4 Estimation of the appreciation rates
• Publisher Details: Boca Raton, FL : CRC Press
• Publication Date: 2019
• Extent: 1 online resource
• Subjects: 332.642; Stock exchanges -- Mathematical models; Capital market -- Mathematical models; Finance -- Mathematical models; Stochastic processes; BUSINESS & ECONOMICS / Finance; MATHEMATICS / General; MATHEMATICS / Probability & Statistics / General; Electronic books; Electronic books
• Languages: English
• ISBNs: 9780429488429; 0429488424; 9780429948848; 0429948840; 9780429948855; 0429948859; 9780429948862; 0429948867
• Related ISBNs: 9781138591646
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (EBSCO, viewed April 01, 2019).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
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