【摘 要】
：
We examine the performances of several popular Levy jump models and some of the most sophisticated affine jump-diffusion models in capturing the joint dynam
【机 构】
：
Department of Statistics, Iowa State University
【出 处】
：
2009 International Conference on Financial Statistics and Fi
论文部分内容阅读
We examine the performances of several popular Levy jump models and some of the most sophisticated affine jump-diffusion models in capturing the joint dynamics of stock and option prices.We develop efficient MCMC methods for estimating parameters and latent volatility/jump variables of the Levy jump models using stock and option prices.We show that models with infinite-activity Levy jumps in returns significantly outperform affine jump-diffusion models with compound Poisson jumps in returns and volatility in capturing both the physical and risk-neutral dynamics of the S&P 500 index.
其他文献
在大数据发展背景下,主要指的是大量的信息借助主流软件工具,实现在一定时间内的管理、处理、汇总分析等.医保管理工作在大数据时代下,也在进行不断的改进和创新,以下则主要
Classical approaches for multiclass probability estimation are typically based on regression techniques such as multiple logistic regression,or density esti
目的:结合急诊内科昏迷病因与临床急救对策展开详细讨论.方法:回顾分析2019年1月至2020年1月医院接收的60名昏迷患者的基本资料,找寻其昏迷原因并制定临床急救对策.结果:在急
Tracking the correct directions of monotonicity in multi-dimensional modeling plays an important role in interpreting functional associations.In the presenc
Generalised varying-coefficient models (GVC) are very important models.There is a considerable number of literature addressing these models.However,most of
目的:探究分析门诊中药房药患纠纷的成因及防范措施.方法:2018年1月至2019年12月,本院针对门诊中药房的药患纠纷展开了相关研究,在2018年1月至2018年12月进行中药房常规管理(
急性心肌梗死是临床中较为常见的心血管疾病之一.主要病因为冠状动脉出现持续性的缺血缺氧,属于急重症,具有较高的致死率.发病时患者心前区压榨性疼痛、胸骨疼痛,常伴有呼吸
This talk will explore/summarize the relationship between ALD (asym-metric Laplace distributiuon),QR (quantile regression) and Lasso.In particular,this talk
支气管哮喘是一种哮喘气道慢性炎症性疾病,它的产生与多种气道炎性细胞相关,如嗜酸粒细胞、中性粒细胞、肥大细胞等,此外,还与多种结构细胞有关,如气道上皮细胞、平滑肌细胞
现阶段,中医教学中,案例教学法的应用尚处在初级阶段,在一些院校中,中医学教学工作者开始逐渐将案例教学法应用在各科课程教学中,或者是借鉴案例导学式教学模式,经过实践获得