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Essays on practical issues in asset pricing : estimation and simulation
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Wang, Yan (2015) Essays on practical issues in asset pricing : estimation and simulation. PhD thesis, University of Warwick.
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Official URL: http://webcat.warwick.ac.uk/record=b2862087~S1
Abstract
This thesis studies several practical issues in asset pricing, including MCMC estimation of time-changed Lévy processes, calibration techniques for stochastic volatility models, and a sampling scheme for the SABR model. First, a MCMC estimation approach is developed to estimate time-changed Lévy processes. Simulation-based experiments demonstrate good accuracy of the MCMC approach. An empirical study on its fitness of the return dynamics is provided, which shows that time-changed Lévy models can achieve excellent performance in capturing index returns. Second, a further study on MCMC estimation is applied to multivariate Lévy processes, in order to evaluate the efficiency and accuracy of the Bayesian technique for high-dimensional portfolio theory. Last, a new representation of the SABR model is proposed by adopting a coupling approach, based on which, the uncorrelated SABR is sampled from its density. Numerical experiments are implemented to compare the sampling scheme with the Euler discretization scheme and examine the accuracy of Hagan’s popular formula for the implied Black-Scholes volatility
Item Type: | Thesis (PhD) | ||||
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Subjects: | H Social Sciences > HG Finance | ||||
Library of Congress Subject Headings (LCSH): | Capital assets pricing model, Finance -- Mathematical models, Levy processes, Monte Carlo method, Markov processes | ||||
Official Date: | July 2015 | ||||
Dates: |
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Institution: | University of Warwick | ||||
Theses Department: | Warwick Business School | ||||
Thesis Type: | PhD | ||||
Publication Status: | Unpublished | ||||
Supervisor(s)/Advisor: | Jin, Xing | ||||
Sponsors: | Warwick Business School | ||||
Extent: | xi, 112 leaves : illustrations | ||||
Language: | eng |
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