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Author: Cyrus A. Ramezani Publisher: ISBN: Category : Languages : en Pages : 32
Book Description
An asymmetric jump-diffusion model of stock price behavior is proposed. In an extension of Merton's (1976), we posit that returns dynamics are determined by a drift component, a Wiener process and two jump processes representing the arrival of quot;goodquot; or quot;badquot; news that lead to jumps in security prices. We assume that good and bad news may arrive with different intensities and the distribution of jump magnitudes representing each type is different. To admit and test these distinctions, we assume that news arrives according to two Poisson processes and jump magnitudes representing good and bad news are Pareto and Beta distributed. We develop cumulant and maximum likelihood estimators and use daily stock prices data to estimate the proposed model. Empirical results strongly support the posited model. Likelihood based test provides support to the hypothesis that stock prices respond differently to the arrival of good and bad news.
Author: Cyrus A. Ramezani Publisher: ISBN: Category : Languages : en Pages : 32
Book Description
An asymmetric jump-diffusion model of stock price behavior is proposed. In an extension of Merton's (1976), we posit that returns dynamics are determined by a drift component, a Wiener process and two jump processes representing the arrival of quot;goodquot; or quot;badquot; news that lead to jumps in security prices. We assume that good and bad news may arrive with different intensities and the distribution of jump magnitudes representing each type is different. To admit and test these distinctions, we assume that news arrives according to two Poisson processes and jump magnitudes representing good and bad news are Pareto and Beta distributed. We develop cumulant and maximum likelihood estimators and use daily stock prices data to estimate the proposed model. Empirical results strongly support the posited model. Likelihood based test provides support to the hypothesis that stock prices respond differently to the arrival of good and bad news.
Author: David Ardia Publisher: ISBN: Category : Languages : en Pages : 6
Book Description
The estimation of a jump-diffusion model via Differential Evolution is presented. Finding the maximum likelihood estimator for such processes is a tedious task due to the multimodality of the likelihood function. The performance of the Differential Evolution algorithm is compared with standard optimization techniques.
Author: John R. Birge Publisher: Elsevier ISBN: 9780080553252 Category : Business & Economics Languages : en Pages : 1026
Book Description
The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Author: Nigel Da Costa Lewis Publisher: Springer ISBN: 0230523781 Category : Business & Economics Languages : en Pages : 263
Book Description
Energy Risk Modeling is a primer on statistical methods for managers, students and anybody interested in the field. Illustrated through elementary and more advanced statistical Methods, it is primarily aimed at those individuals who need a gentle introduction in how to go about using statistical methods for modeling energy price risk. Statistical ideas are presented by outlining the necessary concepts and illustrating how these ideas can be implemented. This is the first energy risk book on the market to focus specifically on the role of statistical methods. Its practical approach makes the book a very useful reference and an interesting read.
Author: Jil Caroline Onimus Publisher: Springer Science & Business Media ISBN: 3834966193 Category : Business & Economics Languages : en Pages : 163
Book Description
Dr. Jil Caroline Onimus identifies the baskets of real options embedded in model venture capital contracts as published by the National Venture Capital Association (NVCA) and shows how they can be priced in interaction using Least Squares Monte Carlo simulation.
Author: Cyrus A. Ramezani
Author: Cyrus A. Ramezani
Author: David Ardia
Author: John R. Birge
Author: Phillip John Paine
Author: Nigel Da Costa Lewis
Author: 余定宏
Author: Rolf Poulsen
Author: Dana Düvelmeyer
Author: 
Author: Jil Caroline Onimus