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Parameter Estimation in Stochastic Differential Equations
16 references·1 citing·36 second hop
Parameter Estimation in Stochastic Differential Equations (2011)Parameter Estimation in Stochastic Differ…Tools for Computational Finance (2012)Tools for Computational Finan…Parameter Estimation in Stochastic Differential Equations (2007)Parameter Estimation in Stoch…Tools for Computational Finance (2004)Tools for Computational Finan…Stochastic Differential Equations (2003)Stochastic Differential Equat…Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics (2001)Option Pricing and Portfolio …Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates (1997)Gaussian Estimation of Single…Numerical solution of SDE through computer experiments (1994)Numerical solution of SDE thr…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…CONTINUOUS TIME STOCHASTIC MODELS AND ISSUES OF AGGREGATION OVER TIME (1984)CONTINUOUS TIME STOCHASTIC MO…Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models (1983)Gaussian Estimation of Struct…Conditional Predictions of Bond Prices and Returns (1980)Conditional Predictions of Bo…An Analysis of Variable Rate Loan Contracts (1980)An Analysis of Variable Rate …On the term structure of interest rates (1978)On the term structure of inte…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Parameter Estimation for Rough Differential Equations (2008)Parameter Estimation for Roug…Theory of Rational Option Pricing (1973)The Stochastic Volatility of Short‐Term Interest Rates: Some International Evidence (1999)Guaranteed Annuity Options (2003)Theory of rational option pricing (2005)Parameter estimation and bias correction for diffusion processes (2008)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Optimal bond trading with personal taxes (1984)A nonlinear general equilibrium model of the term structure of interest rates (1989)The Pricing of Options and Corporate Liabilities (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Parameter estimation for mechanical systems via an explicit representation of uncertainty (2009)Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein–Uhlenbeck process (2013)Least squares estimators for discretely observed stochastic processes driven by small Lévy noises (2013)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)Waiting to Invest: Investment and Uncertainty (1992)Nonparametric Pricing of Interest Rate Derivative Securities (1995)On solving elliptic stochastic partial differential equations (2002)Equivalent linearization and Monte Carlo simulation in stochastic dynamics (2003)Construction of Equivalent Stochastic Differential Equation Models (2008)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)The Role of Portfolio Constraints in the International Propagation of Shocks (2008)Stochastic Differential Equations (2014)Numerical Solution of Stochastic Differential Equations (2016)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 2003Stochastic Differential Equations2,090 cited
  • 1978On the term structure of interest rates659 cited
  • 1994Numerical solution of SDE through computer experiments421 cited
  • 1980An Analysis of Variable Rate Loan Contracts277 cited
  • 2007Parameter Estimation in Stochastic Differential Equations247 cited
  • 1997Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates230 cited
  • 2012Tools for Computational Finance220 cited
  • 1984CONTINUOUS TIME STOCHASTIC MODELS AND ISSUES OF AGGREGATION OVER TIME208 cited
  • 2001Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics161 cited
  • 1983Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models149 cited
  • 1980Conditional Predictions of Bond Prices and Returns64 cited

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2004
Tools for Computational Finance
51 cited

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  • 2008Parameter Estimation for Rough Differential Equations18 cited