The field of financial econometrics has exploded over the last decade. This book represents an integration of theory …'s Program in Computational Finance. He regularly teaches courses on econometric theory, financial econometrics and time series … leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics …

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market …

-arbitrage relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a …

Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration … stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic …

Robustification of an on-line EM algorithm for modelling asset prices within an HMM -- Stochastic volatility or … -- Parameter estimation in a weak hidden Markov model with independent drift and volatility -- Parameter estimation in a regime … science that will be covered are: interest rate theory, fixed-income instruments, currency market, annuity and insurance …