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: 2013
• 资助国家: 加拿大
• 起止时间: 2013-01-01 至 2014-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=521674
• 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.

波动率参数和波动率预测在金融和经济学中的期权定价应用中起着重要的作用。格兰杰教授和恩格尔教授因其在波动率建模和预测方面的研究而于2003年获得诺贝尔奖。Black-Scholes期权定价公式依赖于股票价格的波动过程。我以前在非线性时间序列建模和推理方面的研究，被诺贝尔奖赢家格兰杰教授（2003年）引用，将扩展到研究随机系数非线性波动模型的预测、估计和平滑等推理。当前和最近的市场价格传达了有关决定未来价格的概率分布的信息。