Browsing Mathematics (Faculty of) by Author "Wilson, David"
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The Estimation of Stochastic Models in Finance with Volatility and Jump Intensity
Wilson, David Edward Alexander (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 ...