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Over the last few decades, there has been vast interest in the modelling of asset returns using jump diffusion processes. This was in part as a result of the realization that the standard diffusion processes, which do not allow for jumps, were not able to capture the stylized facts that return distributions are leptokurtic and have heavy tails. Although jump diffusion models have been identified as being useful to capture these stylized facts, there has not been consensus as to how these jump diffusion models should be calibrated. This dissertation tackles this calibration issue by considering the basic jump diffusion model of Merton (1976) applied to South African equity and interest rate market data. As there is little access to frequently updated volatility surfaces and option price data in South Africa, the calibration methods that are used in this dissertation are those that require historical returns data only. The methods used are the standard Maximum Likelihood Estimation (MLE) approach, the likelihood proling method of Honore (1998), the Method of Moments Estimation (MME) technique and the Expectation Maximisation (EM) algorithm.
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I was born in South Africa. I have a Business Science degree in Actuarial Science from UCT and an MPhil in Mathematical Finance from UCT. I enjoy researching on statistical models and post most of my work on my blog: www.wilsonmongwe.co.za. I am passionate about teaching and I am a co-founder of MOTS: www.motstutoring.co.za.
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Modelling returns in South Africa using Jump Diffusion Processes
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Taschenbuch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Over the last few decades, there has been vast interest in the modelling of asset returns using jump diffusion processes. This was in part as a result of the realization that the standard diffusion processes, which do not allow for jumps, were not able to capture the stylized facts that return distributions are leptokurtic and have heavy tails. Although jump diffusion models have been identified as being useful to capture these stylized facts, there has not been consensus as to how these jump diffusion models should be calibrated. This dissertation tackles this calibration issue by considering the basic jump diffusion model of Merton (1976) applied to South African equity and interest rate market data. As there is little access to frequently updated volatility surfaces and option price data in South Africa, the calibration methods that are used in this dissertation are those that require historical returns data only. The methods used are the standard Maximum Likelihood Estimation (MLE) approach, the likelihood proling method of Honore (1998), the Method of Moments Estimation (MME) technique and the Expectation Maximisation (EM) algorithm. 60 pp. Englisch. Bestandsnummer des Verkäufers 9783659943331
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Modelling returns in South Africa using Jump Diffusion Processes
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ISBN 13: 9783659943331
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Taschenbuch. Zustand: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Over the last few decades, there has been vast interest in the modelling of asset returns using jump diffusion processes. This was in part as a result of the realization that the standard diffusion processes, which do not allow for jumps, were not able to capture the stylized facts that return distributions are leptokurtic and have heavy tails. Although jump diffusion models have been identified as being useful to capture these stylized facts, there has not been consensus as to how these jump diffusion models should be calibrated. This dissertation tackles this calibration issue by considering the basic jump diffusion model of Merton (1976) applied to South African equity and interest rate market data. As there is little access to frequently updated volatility surfaces and option price data in South Africa, the calibration methods that are used in this dissertation are those that require historical returns data only. The methods used are the standard Maximum Likelihood Estimation (MLE) approach, the likelihood proling method of Honore (1998), the Method of Moments Estimation (MME) technique and the Expectation Maximisation (EM) algorithm. Bestandsnummer des Verkäufers 9783659943331
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Modelling returns in South Africa using Jump Diffusion Processes
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Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Mongwe WilsonI was born in South Africa. I have a Business Science degree in Actuarial Science from UCT and an MPhil in Mathematical Finance from UCT. I enjoy researching on statistical models and post most of my work on my blog: www. Bestandsnummer des Verkäufers 159148100
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Modelling returns in South Africa using Jump Diffusion Processes
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ISBN 10: 3659943339
ISBN 13: 9783659943331
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Taschenbuch. Zustand: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Over the last few decades, there has been vast interest in the modelling of asset returns using jump diffusion processes. This was in part as a result of the realization that the standard diffusion processes, which do not allow for jumps, were not able to capture the stylized facts that return distributions are leptokurtic and have heavy tails. Although jump diffusion models have been identified as being useful to capture these stylized facts, there has not been consensus as to how these jump diffusion models should be calibrated. This dissertation tackles this calibration issue by considering the basic jump diffusion model of Merton (1976) applied to South African equity and interest rate market data. As there is little access to frequently updated volatility surfaces and option price data in South Africa, the calibration methods that are used in this dissertation are those that require historical returns data only. The methods used are the standard Maximum Likelihood Estimation (MLE) approach, the likelihood proling method of Honore (1998), the Method of Moments Estimation (MME) technique and the Expectation Maximisation (EM) algorithm.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 60 pp. Englisch. Bestandsnummer des Verkäufers 9783659943331
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Taschenbuch. Zustand: Neu. Modelling returns in South Africa using Jump Diffusion Processes | Wilson Mongwe | Taschenbuch | 60 S. | Englisch | 2016 | LAP LAMBERT Academic Publishing | EAN 9783659943331 | Verantwortliche Person für die EU: OmniScriptum GmbH & Co. KG, Bahnhofstr. 28, 66111 Saarbrücken, info[at]akademikerverlag[dot]de | Anbieter: preigu. Bestandsnummer des Verkäufers 107678346
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