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 …

Integrated Volatility -- Zero-inflated Data Generation Processes -- Algorithmic Text Forecasting. …-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring … system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two …

-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 …

, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility … life insurance policies, interest rate theory, credit risk modeling, risk management, analysis of future demand and ….e., turbulence, volatility, emotion, chaotic events, etc.) and analyze the fundamental components of economic markets. Hence, Hidden …

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 …