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Parameter estimation in stochastic volatility models

Material type

단행본

Personal Author

Bishwal, Jaya P. N.

Title Statement

Parameter estimation in stochastic volatility models / Jaya P.N. Bishwal.

Publication, Distribution, etc

Cham : Springer, 2022.

Physical Medium

xxx, 613 p. ; 24 cm.

ISBN

9783031038600

Bibliography, Etc. Note

Includes bibliographical references and index.

Subject Added Entry-Topical Term

Parameter estimation. Stochastic differential equations.

000		00000nam u2200205 a 4500
001		000046140143
005		20230201181956
008		230130s2022 sz b 001 0 eng d
020		▼a 9783031038600
040		▼a 211009 ▼c 211009 ▼d 211009
050	4	▼a QA276.8
082	0 4	▼a 519.5/44 ▼2 23
084		▼a 519.544 ▼2 DDCK
090		▼a 519.544 ▼b B622p
100	1	▼a Bishwal, Jaya P. N.
245	1 0	▼a Parameter estimation in stochastic volatility models / ▼c Jaya P.N. Bishwal.
260		▼a Cham : ▼b Springer, ▼c 2022.
300		▼a xxx, 613 p. ; ▼c 24 cm.
504		▼a Includes bibliographical references and index.
650	0	▼a Parameter estimation.
650	0	▼a Stochastic differential equations.
945		▼a ITMT

Holdings Information

Science & Engineering Library

No.	Location	Call Number	Accession No.	Availability	Due Date	Make a Reservation	Service
No. 1	Location Science & Engineering Library/Sci-Info(Stacks2)/	Call Number 519.544 B622p	Accession No. 121261971	Availability Available	Due Date	Make a Reservation	Service B M

Contents information

Stochastic Volatility Models: Methods of Pricing, Hedging and Estimation.- Sequential Monte Carlo Methods.- Parameter Estimation in the Heston Model.- Fractional Ornstein-Uhlenbeck Processes, Levy-Ornstein-Uhlenbeck Processes and Fractional Levy-Ornstein-Uhlenbeck Processes.- Inference for General Semimartingales and Selfsimilar Processes.- Estimation in Gamma-Ornstein-Uhlenbeck Stochastic Volatility Model.- Berry-Esseen Inequalities for the Functional Ornstein-Uhlenbeck-Inverse-Gaussian Process.- Maximum Quasi-likelihood Estimation in Fractional Levy Stochastic Volatility Model.- Estimation in Barndorff-Neilsen-Shephard Ornstein-Uhlenbeck Stochastic Volatility Model.- Parameter Estimation in Student Ornstein-Uhlenbeck Model.- Berry-Esseen Asymptotics for Pearson Diffusions.- Bayesian Maximum Likelihood Estimation in Fractional Stochastic Volatility Models.- Berry-Esseen-Stein-Malliavin Theory for Fractional Ornstein-Uhlenbeck Process.- Approximate Maximum Likelihood Estimation for Sub-fractional Hybrid Stochastic Volatility Model.- Appendix.

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