Similar Search Results

Föllmer, Hans - 2000

Problems arising in Finance have become a significant source of new developments in Stochastic Analysis. We discuss some recent case studies, in particular some decomposition and representation theorems which are motivated by problems of hedging derivatives and of intertemporal consumption choice.

Persistent link: https://www.econbiz.de/10009612020

Self-rated and changes in self-rated health as predictors of mortality : first evidence from german panel data

Schwarze, Johannes; Andersen, Hanfried H.; Anger, Silke - 2002

Background: Studies from several countries have shown that self-rated health is an independent predictor of mortality … individuals and (ii) changes in self-rated health, as predictors of mortality for Germany. Methods: A sub-sample of 3 … in self-rated health on predictions of mortality. Results: We find that, while currently self-rated health is shown to be …

Persistent link: https://www.econbiz.de/10009626677

Reappraising medfly longevity : a quantile regression survival analysis

Koenker, Roger; Geling, Olga - 1999

-specific mortality in a population of roughly 1.2 million Mediterranean fruit flies (Ceratitis Capitata). The quantile regression … mortality rates at advanced ages, and the gender cross-over effect in survival functions for medflies. …

Persistent link: https://www.econbiz.de/10009580464

Quantile hedging

Föllmer, Hans; Leukert, Peter - 1998

risk …

Persistent link: https://www.econbiz.de/10009574876

A note on stochastic volatility, GARCH models, and hyperbolic distributions

Jaschke, Stefan R. - 1997

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...

Persistent link: https://www.econbiz.de/10009577459

Canonical decomposition of linear transformations of two independent Brownian motions

Föllmer, Hans; Wu, Ching-Tang; Yor, Marc - 1998

Motivated by the Kyle-Back model of “insider trading”, we consider certain classes of linear transformations of two independent Brownian motions and study their canonical decomposition as semimartingales in their own filtration. In particular we characterize those transformations which...

Persistent link: https://www.econbiz.de/10009578007

Delay estimation for some stationary diffusion-type processes

Küchler, Uwe; Kutoyants, Yu. A. - 1998

In this paper the asymptotic behaviour of the maximum likelihood and Bayesian estimators of a delay parameter is studied. The observed process is supposed to be the solution of a linear stochastic differential equation with one time delay term. It is shown that these estimators are consistent...

Persistent link: https://www.econbiz.de/10009578018

Flexible stochastic volatility structures for high frequency financial data

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

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...

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

A minimality property of the minimal martingale measure

Schweizer, Martin - 1998

Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal martingale measure P is the unique ELMM for X with the property that local P-martingales strongly orthogonal to the P-martingale part of X are also local P-martingales. We...

Persistent link: https://www.econbiz.de/10009578560

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