Continuous time regime switching models and applications in estimating processes with stochastic volatility and jumps
Year of publication: |
2002
|
---|---|
Authors: | Chourdakis, Kyriakos |
Publisher: |
London : Queen Mary University of London, Department of Economics |
Subject: | Stochastischer Prozess | Zeitreihenanalyse | Optionspreistheorie | Continuous time regime switching, Stochastic volatility jump diffusion, Option pricing, Filtering |
Series: | Working Paper ; 464 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 377019186 [GVK] hdl:10419/62915 [Handle] |
Classification: | G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing ; C22 - Time-Series Models |
Source: |
-
Chourdakis, Kyriakos, (2003)
-
Jumps and Stochastic Volatility in Oil Prices : Time Series Evidence
Larsson, Karl, (2014)
-
Option Pricing : Channels, Target Zones and Sideways Markets
Kakushadze, Zura, (2020)
- More ...
-
Brigo, Damiano, (2012)
-
Maximum likelihood estimation of non-affine volatility processes
Chourdakis, Kyriakos, (2011)
-
Are regime-shift sources of risk priced in the market?
Chourdakis, Kyriakos, (2014)
- More ...