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by journeyhome
September 2nd, 2011, 5:44 pm
Forum: Student Forum
Topic: Estimate parameters in SDEs
Replies: 10
Views: 18351

Estimate parameters in SDEs

Thank you everyone for your wonderful help! I am really grateful!
by journeyhome
September 1st, 2011, 3:41 pm
Forum: Student Forum
Topic: Estimate parameters in SDEs
Replies: 10
Views: 18351

Estimate parameters in SDEs

<t>QuoteOriginally posted by: AlanYou're welcome. The connection you ask about is that, for many time-homogenous processes such as the OU, we know from the continuum model the transition density p(DeltaT,x(t2) | x(t1)) where t2 > t1.This density p also depends upon the parameters of the sde. Then, g...
by journeyhome
September 1st, 2011, 2:41 pm
Forum: Student Forum
Topic: Estimate parameters in SDEs
Replies: 10
Views: 18351

Estimate parameters in SDEs

<t>Very nice! This is indeed a good starting point. I really appreciate your advice. Honestly, I have not found many materials, books, on this topic. The best one I have is Hamilton 1994 by far. And I am not able to discover the connection between the discrete series and continuous time processes pr...
by journeyhome
September 1st, 2011, 3:27 am
Forum: Student Forum
Topic: Estimate parameters in SDEs
Replies: 10
Views: 18351

Estimate parameters in SDEs

<t>Hello everyone,The question bothers me a lot is to estimate the parameters in SDEs:For example, consider Trolle and Schwartz (2009) in RFS about unspanned volatility. The part 3 and part 4 they estimated three versions. SVgen, SV2, and SV1 given the data of NYMEX contracts. Or whatever paper like...
by journeyhome
April 23rd, 2011, 6:28 pm
Forum: Economics Forum
Topic: shorting china's real estate
Replies: 9
Views: 29740

shorting china's real estate

<t>QuoteOriginally posted by: Traden4AlphaA bubble pops when too many buyers run out of cheap capital AND owners of the asset are forced to sell. If some buyers (e.g., Chinese govt-backed entities or FDI) still can get cheap capital, then the bubble won't pop. OR if the asset owners can "hold to mat...
by journeyhome
April 21st, 2011, 4:17 pm
Forum: Student Forum
Topic: Hyperbolic PDE in Mathematical Finance?
Replies: 28
Views: 23742

Hyperbolic PDE in Mathematical Finance?

Thank you very much for your help
by journeyhome
April 21st, 2011, 3:22 pm
Forum: Student Forum
Topic: Hyperbolic PDE in Mathematical Finance?
Replies: 28
Views: 23742

Hyperbolic PDE in Mathematical Finance?

I will look into that. Thank you for your help
by journeyhome
April 21st, 2011, 3:22 pm
Forum: Student Forum
Topic: Hyperbolic PDE in Mathematical Finance?
Replies: 28
Views: 23742

Hyperbolic PDE in Mathematical Finance?

Yes, I am aware of that. The empirical evidence is the thing that matters at this moment. Well, this is still an interesting topic whatever.
by journeyhome
April 20th, 2011, 11:17 pm
Forum: Student Forum
Topic: Hyperbolic PDE in Mathematical Finance?
Replies: 28
Views: 23742

Hyperbolic PDE in Mathematical Finance?

I am studying some numerical methods for hyperbolic conservation law i.e. shock wave right now. And "shock", as an expression for "large" jump, appears to me all the time, so it is curious to ask this.Thank you for your paper.
by journeyhome
April 20th, 2011, 7:43 pm
Forum: Student Forum
Topic: Hyperbolic PDE in Mathematical Finance?
Replies: 28
Views: 23742

Hyperbolic PDE in Mathematical Finance?

Thank you very much for your help.
by journeyhome
April 20th, 2011, 5:34 pm
Forum: Student Forum
Topic: Hyperbolic PDE in Mathematical Finance?
Replies: 28
Views: 23742

Hyperbolic PDE in Mathematical Finance?

<t>I am wondering if there was any application of Hyperbolic PDE in mathematical finance? Currently, almost every pricing equation is of parabolic type, which originated from the fundamental diffusion nature. Is there any empirical evidence pointing out some underlying or derivative have hyperbolic ...
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