Modelling Dependency of Volatility on Sampling Frequency via Delay Equations

Luong, Chuong; Dokuchaev, Nikolai

doi:10.2139/ssrn.2401528

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Examples Of Applications In Financial Modelling1

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2017

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“…The assumptions on the process y allows to use it for a variety of financial models. In particular, the assumption on the drift coefficient f allows to consider a path depending evolution such as described by equations with delay; see some examples in Stoica (2005) and Luong and Dokuchaev (2016).…”

Section: Examples Of Applications In Financial Modellingmentioning

confidence: 99%

A pathwise inference method for the parameters of diffusion terms

Dokuchaev

2017

Journal of Nonparametric Statistics

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We consider inference of the parameters of the diffusion term for Cox-Ingersoll-Ross and similar processes with a power type dependence of the diffusion coefficient from the underlying process. We suggest some original pathwise estimates for this coefficient and for the power index based on an analysis of an auxiliary continuous time complex valued process generated by the underlying real valued process. These estimates do not rely on the distribution of the underlying process and on a particular choice of the drift. Some numerical experiments are used to illustrate the feasibility of the suggested method.

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Section: Examples Of Applications In Financial Modellingmentioning

confidence: 99%