Springer series in statistics
The idea for this book came from the time the authors spent at the Statistics and Applied
Mathematical Sciences Institute (SAMSI) in Research Triangle Park in North Carolina …
Mathematical Sciences Institute (SAMSI) in Research Triangle Park in North Carolina …
Anniversary article: Option pricing: Valuation models and applications
M Broadie, JB Detemple - Management science, 2004 - pubsonline.informs.org
This paper surveys the literature on option pricing from its origins to the present. An
extensive review of valuation methods for European-and American-style claims is provided …
extensive review of valuation methods for European-and American-style claims is provided …
Variance risk premiums
We propose a direct and robust method for quantifying the variance risk premium on
financial assets. We show that the risk-neutral expected value of return variance, also known …
financial assets. We show that the risk-neutral expected value of return variance, also known …
Maximum likelihood estimation of discretely sampled diffusions: a closed‐form approximation approach
Y Aït‐Sahalia - Econometrica, 2002 - Wiley Online Library
When a continuous‐time diffusion is observed only at discrete dates, in most cases the
transition distribution and hence the likelihood function of the observations is not explicitly …
transition distribution and hence the likelihood function of the observations is not explicitly …
Recovering risk aversion from option prices and realized returns
JC Jackwerth - The Review of Financial Studies, 2000 - academic.oup.com
A relationship exists between aggregate risk-neutral and subjective probability distributions
and risk aversion functions. We empirically derive risk aversion functions implied by options …
and risk aversion functions. We empirically derive risk aversion functions implied by options …
[BOOK][B] Simulation and inference for stochastic differential equations: with R examples
SM Iacus - 2008 - Springer
Stochastic di? erential equations model stochastic evolution as time evolves. These models
have a variety of applications in many disciplines and emerge naturally in the study of many …
have a variety of applications in many disciplines and emerge naturally in the study of many …
Dynamic mean-variance asset allocation
S Basak, G Chabakauri - The Review of Financial Studies, 2010 - academic.oup.com
We solve the dynamic mean-variance portfolio problem and derive its time-consistent
solution using dynamic programming. Previous literature, in contrast, only determines either …
solution using dynamic programming. Previous literature, in contrast, only determines either …
The dynamics of stochastic volatility: evidence from underlying and options markets
CS Jones - Journal of econometrics, 2003 - Elsevier
This paper proposes and estimates a more general parametric stochastic variance model of
equity index returns than has been previously considered using data from both underlying …
equity index returns than has been previously considered using data from both underlying …
Transition densities for interest rate and other nonlinear diffusions
Y Aït‐Sahalia - The journal of finance, 1999 - Wiley Online Library
This paper applies to interest rate models the theoretical method developed in Aït‐Sahalia
(1998) to generate accurate closed‐form approximations to the transition function of an …
(1998) to generate accurate closed‐form approximations to the transition function of an …
Time-averaging and nonergodicity of reset geometric Brownian motion with drift
How do near-bankruptcy events in the past affect the dynamics of stock-market prices in the
future? Specifically, what are the long-time properties of a time-local exponential growth of …
future? Specifically, what are the long-time properties of a time-local exponential growth of …