Estimation of Stochastic Differential Equations Models in Finance


Alejandra Lopes (Universidade de Santiago de Compostela)


Praia de Botafogo, 190 - sala 537


2 de Maio de 2019 às 16h

In this expository lecture, we shall describe some important stochastic differential models in finance and study different parametric and nonparametric estimation methods. In particular, we shall consider the following techniques: kernel estimator, exact and discrete maximum likelihood, Hermite polynomial expansion, generalized method of moments (GMM), Kalman filter, Markov Chain Monte Carlo (MCMC), particle learning and Fourier transform.

*Texto informado pelo autor. 


Alejandra Lopes is a PhD candidate at Universidade de Santiago de Compostela.