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Statistical modelling of asymmetric risk in asset returns

Knight, John L.; Satchell, Stephen; Tran, Kien C. - 1995

Persistent link: https://www.econbiz.de/10000924260

Malliavin's calculus in insider models : additional utility and free lunches

Imkeller, Peter - 2002

We consider simple models of financial markets with regular traders and insiders possessing some extra information hidden in a random variable which is accessible to the regular trader only at the end of the trading interval. The problems we focus on are the calculation of the additional utility...

Persistent link: https://www.econbiz.de/10009620768

A stochastic representation theorem with applications to optimization and obstacle problems

Bank, Peter; El Karoui, Nicole - 2001

We study a new type of representation problem for optional processes with connections to singular control, optimal stopping and dynamic allocation problems. As an application, we show how to solve a variant of Skorohod's obstacle problem in the context of backward stochastic differential...

Persistent link: https://www.econbiz.de/10009620781

Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001

The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...

Persistent link: https://www.econbiz.de/10009613611

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

linear state space representation. We provide a simulation study and apply the test to the HFDF96 data set. Our results …

Persistent link: https://www.econbiz.de/10009578026

Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods

Lillestøl, Jostein - 2000 - Rev.

The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods. --...

Persistent link: https://www.econbiz.de/10009612011

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...

Persistent link: https://www.econbiz.de/10009580460

Risk premia and financial modelling without measure transformation

Platen, Eckhard - 2000

specify the overall market dynamics, where deflated asset prices appear as martingales. A specific form for the risk premia is … the case of complete and incomplete markets avoiding the use of an equivalent risk neutral measure transformation …. -- financial market modelling ; deflator ; risk premium ; contingent claim pricing ; incomplete market …

Persistent link: https://www.econbiz.de/10009612031

Random times at which insiders can have free lunches

Imkeller, Peter - 2001

allow the insider to have free lunches with vanishing risk, or even to exercise arbitrage. -- Brownian motion ; diffusion …

Persistent link: https://www.econbiz.de/10009614874

On estimating a dynamic function of a stochastic system with averaging

Liptser, R.; Spokojnyj, Vladimir G. - 1998

We consider a two-scaled diffusion system, when drift and diffusion parameters of the “slow” component are contaminated by the "fast" unobserved component. The goal is to estimate the dynamic function which is defined by averaging the drift coefficient of the "slow" component w.r.t. the...

Persistent link: https://www.econbiz.de/10009578564