Results 51 to 60 of about 255 (153)
Applications of hidden Markov models in financial modelling [PDF]
, 2008 This thesis was submitted for the degree of Doctor of Philosophy and was awarded by Brunel University.Various models driven by a hidden Markov chain in discrete or continuous time are developed to capture the stylised features of market variables whose ...
Erlwein, Christina
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Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice
The Journal of Finance, Volume 81, Issue 3, Page 1741-1795, June 2026.ABSTRACT We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk‐averse investors (relative risk aversion γ>1$\gamma > 1$) fear return persistence, while risk‐tolerant investors (0<γ<1$0<\gamma <1$) fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID)
PASCAL J. MAENHOUT +2 more
wiley +1 more source
Preference-free option pricing with path-dependent volatility: A closed-form approach [PDF]
This paper shows how one can obtain a continuous-time preference-free option pricing model with a path-dependent volatility as the limit of a discrete-time GARCH model.
Steven L. Heston, Saikat Nandi
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, 1977 The prototype of a potential process is a stochastic process which visits the same points in the same order as a Markov process, but at a rate obtained from a nonanticipating time change.
R. V. Chacon
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Using privileged information to manipulate markets: insiders, gurus, and credibility
, 1992 Access to private information is shown to generate both the incentives and the ability to manipulate asset markets through strategically distorted announcements. The fact that privileged information is noisy interferes with the public's attempts to learn
Laroque, G. +3 more
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Lectures from Markov processes to Brownian motion
, 1982 This book evolved from several stacks of lecture notes written over a decade and given in classes at slightly varying levels. In transforming the over lapping material into a book, I aimed at presenting some of the best features of the subject with a ...
Chung, Kai Lai
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A likelihood ratio test for stationarity of rating transitions [PDF]
For a time-continuous discrete-state Markov process as model for rating transitions, we study the time-stationarity by means of a likelihood ratio test. For multiple Markov process data from a multiplicative intensity model, maximum likelihood parameter ...
Walter, Ronja, Weißbach, Rafael
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Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes. [PDF]
Continuous non-Gaussian stationary processes of the OU-type are becoming increasingly popular given their flexibility in modelling stylized features of financial series such as asymmetry, heavy tails and jumps.
Emanuele Taufer
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Fasys: Visible-Light-Based Communication and Positioning Services towards Smart Cities. [PDF]
Sensors (Basel), 2023 Yu B, Liu X, Guo L, Wei X, Song S.
europepmc +1 more source
Sensitivity analysis for HJB equations with an application to a coupled backward-forward system
, 2013 In this paper, we analyse the dependence of the solution of Hamilton-Jacobi-Bellman equations on a functional parameter. This sensitivity analysis not only has the interest on its own, but also is important for the mean field games methodology, namely for
Kolokoltsov, Vassili, Yang, Wei
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