Results 61 to 70 of about 129 (88)

Financial modeling with Volterra Lévy processes and applications to options pricing, interest rates and credit risk modeling

, 2014
Ce travail étudie des modèles financiers pour les prix d'options, les taux d'intérêts et le risque de crédit, avec des processus stochastiques à mémoire et comportant des discontinuités.
Rahouli, Sami El
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Modeling long-range dependent Gaussian processes with application in continuous-time financial models

This paper considers a class of nonstationary Gaussian processes with possible long-range dependence (LRD) and intermittency. The author proposes a new estimation method to simultaneously estimate both the LRD and intermittency parameter.
Gao, Jiti
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Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model

, 2016
Published in Econometric Theory, Volume 35, Issue 1, February 2019 , pp. 198-231.
Jun YU,, XIAO, Weilin
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Modelli a volatilità non-semimartingala per l'asset pricing

The semimartingale property is fundamental in the asset pricing theory. This special condition characterizes the stochastic integration in the Ito framework and constitutes the foundation of modern mathematical finance.
LA GAMMA, MARCO
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Stochastische Prozesse außerhalb der Semimartingal-Klasse mit Anwendung auf Zins-, Kreditrisiko- und Volatilitätsmodellierung

, 2012
The first part of this thesis analyses the conditional distributions of fractional processes like fractional Brownian motion (fBm) and (multivariate) Molchan-Golosov fractional Lévy processes (MG-fLps) which will be introduced by Molchan-Golosov kernels.
Fink, Holger
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Stationarity and the term structure of interest rates: a characterisation of stationary and unit root yield curves [PDF]

The nature of yield curve dynamics and the determinants of the integration order of yields are investigated using a benchmark economy in which the logarithmic expectations theory holds and the regularity condition of a limiting yield and limiting term ...
Clive G. Bowsher, Roland Meeks
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Density forecasting in financial risk modelling [PDF]

As a result of an increasingly stringent regulation aimed at monitoring financial risk exposures, nowadays the risk measurement systems play a crucial role in all banks.
Bedendo, Mascia
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Stochastic volatility [PDF]

Given the importance of return volatility on a number of practical financial management decisions, the efforts to provide good real- time estimates and forecasts of current and future volatility have been extensive.
Torben G. Andersen, Luca Benzoni
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Tsallis Entropy in Consecutive <i>k</i>-out-of-<i>n</i> Good Systems: Bounds, Characterization, and Testing for Exponentiality. [PDF]

Entropy (Basel)
Alqefari AA, Alomani G, Kayid M.
europepmc   +1 more source

Testing Linearity in Term Structures

Recent empirical studies suggests that affine models, a popular framework to analyse term structures of interest rates, are misspecified. This evidence is mainly based on time series properties of the data.
Peroni, Chiara
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