Browsing University of Waterloo by Subject "stochastic volatility"
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The Estimation of Stochastic Models in Finance with Volatility and Jump Intensity
(University of Waterloo, 2018-10-26)This thesis covers the parametric estimation of models with stochastic volatility, jumps, and stochastic jump intensity, by FFT. The first primary contribution is a parametric minimum relative entropy optimal Q-measure ... -
Time change method in quantitative finance
(University of Waterloo, 2010-04-28)In this thesis I discuss the method of time-change and its applications in quantitative finance. I mainly consider the time change by writing a continuous diffusion process as a Brownian motion subordinated by a ...