Sumários
Affine processes
3 Novembro 2025, 17:30 • Szabolcs Sebestyén
Estimation of DTSMs
Applications
- Gaussian DTSM
Affine processes
27 Outubro 2025, 19:00 • Szabolcs Sebestyén
Dynamic Term Structure Models
- No Arbitrage and Risk-Neutral Pricing
- Key Ingredients of a DTSM
- Affine Term Structure Models
- Continuous-Time Affine DTSMs
- Canonical Representation
Affina processes
27 Outubro 2025, 17:30 • 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
20 Outubro 2025, 19:00 • Szabolcs Sebestyén
MCMC Applications
- Geometric Brownian Motion
- Time-Varying Equity Premium
- Stochastic Volatility