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2003-03-17Buch DOI: 10.18452/3582
Nonparametric Methods in Continuous-Time Finance
dc.contributor.authorCai, Zongwu
dc.contributor.authorHong, Yongmiao
dc.date.accessioned2017-06-15T21:27:42Z
dc.date.available2017-06-15T21:27:42Z
dc.date.created2005-10-13
dc.date.issued2003-03-17
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4234
dc.description.abstractThis paper gives a selective review on the recent developments of nonparametric methods in continuous-time finance, particularly in the areas of nonparametric estimation of diffusion processes, nonparametric testing of parametric diffusion models, and nonparametric pricing of derivatives. For each financial context, the paper discusses the suitable statistical concepts, models, and modeling procedures, as well as some of their applications to financial data. Their relative strengths and weakness are discussed. Much theoretical and empirical research is needed in this area, and more importantly, the paper points to several aspects that deserve further investigation.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectderivative pricingeng
dc.subjectcontinuous time modeleng
dc.subjectjump processeng
dc.subjectkernel smoothingeng
dc.subjectnonparametric testeng
dc.subjectnon-stationarity optionseng
dc.subjectstochastic discount factoreng
dc.subjecttime-dependent modeleng
dc.subject.ddc330 Wirtschaft
dc.titleNonparametric Methods in Continuous-Time Finance
dc.typebook
dc.subtitleA Selective Review
dc.identifier.urnurn:nbn:de:kobv:11-10049992
dc.identifier.doihttp://dx.doi.org/10.18452/3582
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages35
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2003
local.edoc.container-issue15
local.edoc.container-year2003
local.edoc.container-erstkatid2135319-0

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