Algorithmic estimation of risk factors in financial markets with stochastic drift

DOI10.1016/j.cor.2010.09.007zbMath1251.91072OpenAlexW2033114918MaRDI QIDQ1762049

David Saunders, Luis A. Seco, Janko Hernandez

Publication date: 15 November 2012

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2010.09.007

zbMATH Keywords

commodity pricesinterest ratesmethod of momentsstochastic driftalgorithmic estimation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82)

Related Items (3)

A cyclical square-root model for the term structure of interest rates ⋮ Valuation of commodity derivatives with an unobservable convenience yield ⋮ Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process

Uses Software

• NSOIA

Cites Work

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• Ergodic theorems. With a supplement by Antoine Brunel
• Maximum-likelihood estimation for hidden Markov models
• ARCH models as diffusion approximations
• A Theory of the Term Structure of Interest Rates
• A Monte Carlo EM Approach for Partially Observable Diffusion Processes: Theory and Applications to Neural Networks
• Particle Filters for Partially Observed Diffusions
• Linear diffusion with stationary switching regime
• Stochastic volatility models as hidden Markov models and statistical applications

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