Sumários
Affine processes
23 Outubro 2023, 17:30 • Szabolcs Sebestyén
Dynamic term structure models
- No arbitrage and risk-neutral pricing
- Key ingredients of a DTSM
- Affine term structure models
Affine processes
16 Outubro 2023, 19:00 • Szabolcs Sebestyén
Affine processes: Overview
Continuous-time affine processes
Discrete-time affine processes
Transforms for affine processes
Estimation of affine processes
Model specification and estimation strategies
16 Outubro 2023, 17:30 • Szabolcs Sebestyén
MCMC applications
- Geometric Brownian motion
- Time-varying equity premium
- Stochastic volatility
Model specification and estimation strategies
9 Outubro 2023, 19:00 • Szabolcs Sebestyén
Kalman filtering
Model specification and estimation strategies
9 Outubro 2023, 17:30 • Szabolcs Sebestyén
Metropolis-Hastings