- Autor
- Kostrzewski Maciej (AGH University of Science and Technology Kraków, Poland)
- Tytuł
- Bayesian Inference on Discretely Sampled Itô Processes
- Źródło
- FindEcon Monograph Series : advances in financial market analysis, 2006, nr 2, s. 81-96, rys., tab., bibliogr. s. 95-96
- Tytuł własny numeru
- Financial markets : principles of modeling forecasting and decision-making
- Słowa kluczowe
- Ekonometria bayesowska, Procesy stochastyczne, Wycena instrumentów pochodnych, Metoda Monte Carlo
Bayesian econometric, Stochastic processes, Derivatives pricing, Monte Carlo method - Abstrakt
- Chapter 5 presents an application of Bayesian inference of Itô processes in pricing derivatives. The chapter includes the Markov Chain Monte Carlo (MCMC) methodology in numerical exercises. (fragment of text)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu - Pełny tekst
- Pokaż
- Bibliografia
-
- Aït-Sahalia Y. (2002), "Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach", Economctrica, 70, 223 262.
- Aït-Sahalia Y. (2003, 2004), "Closed-Form Likelihood Expansions for Multivariate Diffusions", Working Paper of Princeton University.
- Black F., Scholes M. (1973), 'The Pricing of Options and Corporate Liabilities", Journal of Political Economy, 81, 637-654.
- Brennan M., Schwartz E. (1979), "A Continuous Time Approach to The Pricing of Bonds", Journal of Banking and Finance, 3, 133-155.
- Brigo D., Mercurio F. (2001), Interest Rate Models Theory and Practice, Berlin, Heidelberg, New York: Springer-Verlag.
- Cox J. C., Ingersoll J. E., Ross S.A. (1985), "A Theory of the Term Structure of Interest Rates", Econometrica, 53, 384-407.
- Cramer H. (1925), "On Some Classes of Series Used in Mathematical Statistics", Proceedings of the Sixth Scandinavian Mathematical Congress, 399-425.
- Egorov A.V., Li H., Xu Y. (2003), "Maximum Likelihood Estimation of Time Inhomogeneous Diffusions", Journal of Econometrics, 114, 107-139.
- Gamerman D. (1997), Markov Chain Monte Carlo (Stochastic Simulation for Bayesian Inference), London: Chapman & Hall.
- Itô K. (1944), Stochastic Integral. Proceedings of Imperical Academy of Tokyo, 20, 519-524
- Karatzas L., Shreve S. E. (1988), Brownian Motion and Stochastic Calculus, New York: Springer-Verlag.
- Kloeden P. E., Platen E. (1992), Numerical Solutions to Stochastic Differential Equations, New York: Springer-Verlag.
- Kostrzewski M. (2004), "Bayesowska estymacja parametrów dyskretnie obserwowalnych procesów dyfuzji na przykładzie modelu CIR" (Bayesian Estimation of the Parameters of Discretely Observed Diffusion Processes with an Examples of the CIR Model), Przegląd Statystyczny, 3, 129-139.
- Newton M. A., Raftery A. E. (1994), "Approximate Bayesian Inference by the Weighted Likelihood Bootstrap" (with Discussion), Journal of the Royal Statistical Society, B, 56, 3-48.
- Osiewalski JL, Pipień M. (2002), "Multivariate t-GARCH Models: Bayesian Analysis for Exchange Rates", in: Welfe W. (ed.), Modelling Economies in Transition - Proceedings of the Sixth AM FET Conference, Łódź: Absolwent, 151-167.
- Osiewalski J., Pipień M. (2004), "Bayesian Comparison of Bivariate ARCH-type Models for the Main Exchange Rates in Poland", Journal of Econometrics, 123, 371-391.
- Vasiček O. A. (1977), "An Equilibrium Characterization of the Term Structure", Journal of Financial Economics, 5, 177-188.
- Yu B., Mykland P. (1994), "Looking at Markov Samplers Through CUMSUM Paths Plots: A Simple Diagnostic Idea", Berkeley: Department of Statistics, University of Carolina, Technical Report, 413.
- Cytowane przez
- Język
- eng
