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Threshold Estimation of Jump-Diffusion Models and Interest Rate Modeling · Study

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PreprintThreshold Estimation of Jump-Diffusion Models and Interest Rate Modeling

Cecilia Mancini2008

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Preprintgreen2008

Threshold Estimation of Jump-Diffusion Models and Interest Rate Modeling

Cecilia Mancini · Roberto Renò

24 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 2005Stochastic Integration and Differential Equations 1983Stochastic Differential Equations and Diffusion Processes 2003Financial Modelling with Jump Processes 1997Empirical Performance of Alternative Option Pricing Models 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2002The Fine Structure of Asset Returns: An Empirical Investigation

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2009Fluctuations of stock price model by statistical physics systems 2011Volatility and covariation of financial assets: A high-frequency analysis

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2010Threshold estimation of Markov models with jumps and interest rate modelingarticle · 39 shared references 2009Stochastic Volatilityother · 17 shared references 2009Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Pricesarticle · 15 shared references 2018NONPARAMETRIC STOCHASTIC VOLATILITYarticle · 15 shared references 2005A comprehensive analysis of the short-term interest-rate dynamicsarticle · 14 shared references 2008Nonparametric Stochastic Volatilitypreprint · 14 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1158439

openalex_workW1581993025

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