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Numerical methods for the quadratic hedging problem in Markov models with jumps
Quadratic hedging Hamilton-Jacobi-Bellman equation Markov jump processes Par-tial integro-di erential equation Holder spaces electricity markets discretization schemes for PIDE.
2012/9/14
We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value f...
Weighted-indexed semi-Markov models for modeling financial returns
rst passage time distribution autocorrelation function exponentially weighted moving average Monte Carlo
2012/6/4
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are de...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
Characteristic Function Markov models conditional distribution
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
nonparametric regression economics and finance easy-to-interpret diagnostic procedures
2011/4/1
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Statistical identification with hidden Markov models of large order splitting strategies in an equity market
Statistical identification hidden Markov models splitting strategies equity market
2010/10/19
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify an...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri
Conditional characteristic function Goodness-of-fit Multifactor continuous-time Markov model Nonparametric regression
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed-form o...