Ricerca di contatti, progetti,
corsi e pubblicazioni

Adaptive Monte Carlo methods to estimate financial risk models

Persone

Responsabili

Mira A.

(Responsabile)

Barone Adesi G.

(Co-Responsabile USI)

Collaboratori

Peluso S.

(Collaboratore)

Abstract

We plan to study a new adaptive Monte Carlo importance sampling algorithm and to use it to estimate a novel model to predict volatility. The model will be cast both in a Bayesian and a classical framework and the predictive power of the two will be compared. A non-parametric version of the Bayesian model will be also proposed to gain higher flexibility.

Informazioni aggiuntive

Data d'inizio
01.10.2010
Data di fine
01.10.2012
Durata
24 Mesi
Enti finanziatori
Stato
Concluso