Inference for stochastic processes and applications

随机过程的推理和应用

• 批准号: 42983-2009
• 负责人: Thavaneswaran, Aerambamoorthy
• 金额: $ 1.09万
• 依托单位: University of Manitoba
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2011
• 资助国家: 加拿大
• 起止时间: 2011-01-01 至 2012-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=474992
• 关键词: Inference; stochastic; processes; applications

Volatility parameter and forecasting volatility play an important role in option pricing applications in finance and economics. Professors Granger and Engle received the Nobel Prize in 2003 for their research on volatility modeling and forecasting. Black-Scholes option pricing formula depends on the volatility of the stock price process. My previous research on nonlinear time series modeling and inference, cited by Nobel Prize winner Professor Granger (2003), will be extended to study inference such as forecasting, estimation and smoothing of random coefficient nonlinear volatility models. Current and recent market prices convey information about the probability distributions that govern future prices.

波动率参数和预测波动率是期权定价在金融经济中的重要应用。格兰杰教授和恩格尔教授因在波动率建模和预测方面的研究而于2003年获得诺贝尔奖。布莱克-斯科尔斯期权定价公式取决于股票价格过程的波动性。诺贝尔奖获得者格兰杰教授(2003)引用了我之前对非线性时间序列建模和推断的研究，将其扩展到研究随机系数非线性波动模型的预测、估计和平滑等推断。当前和最近的市场价格传达了有关支配未来价格的概率分布的信息。