In this paper, we review recent developments in modeling term structures of market yields on default-free bonds. Our discussion is restricted to continuous-time dynamic term structure models (DTSMs). We derive joint conditional moment generating functions (CMGFs) of state variables for DTSMs in...

Following the general approach for constructing test statistics for stochastic models based on optimal estimating functions by Thavaneswaran (1991), a new test statistic via martingale estimating function is proposed. Applications to some time-series models such as random coefficient...

Godambe's (1985) theorem on optimal estimating equations for stochastic processes is applied to nonparametric estimation problems for nonlinear time-series models with time-varying parameter [alpha](t). Examples are considered from the usual classes of nonlinear time-series models. The goal of...

In financial modeling, the moments of the observed process, the kurtosis and the moments of the conditional volatility play important roles. They are very important in model identification and in forecasting the volatility (see Thavaneswaran et al. [(2005b). Forecasting volatility. Statist....

This paper is concerned with filtering for various types of time series models including the class of generalized ARCH models and stochastic volatility models. We extend the results of Thavaneswaran and Abraham (1988) for some time series models using martingale estimating functions. Nonlinear...

Purpose – Option pricing based on Black-Scholes model is typically obtained under the assumption that the volatility of the return is a constant. The purpose of this paper is to develop a new method for pricing derivatives under the jump diffusion model with random volatility by viewing the...

Purpose – Option pricing based on Black-Scholes model is typically obtained under the assumption that the volatility of the return is a constant. The purpose of this paper is to develop a new method for pricing derivatives under the jump diffusion model with random volatility by viewing the...