Neyman Seminar: Simulated Likelihood Estimators for Discretely Observed Jump-Diffusions

Neyman Seminar: Simulated Likelihood Estimators for Discretely Observed Jump-Diffusions

Neyman Seminar
Apr 1, 2015, 01:00 PM - 02:00 PM | 1011 Evans Hall | Happening As Scheduled
Kay Giesecke, Department of Management Science and Engineering, Stanford University (Speaker)
Continuous-time jump-diffusion models are widely used in finance and economics. They describe the time-series behavior of asset prices, interest and foreign exchange rates, commodity and energy prices, default rates, and other quantities. This paper addresses the parameter inference problem for a jump-diffusion observed at fixed time intervals that need not be short. We develop an unbiased Monte...