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Adaptive Monte Carlo methods to estimate financial risk models

Persone

 

Mira A.

(Responsabile)

Barone Adesi G.

(Co-responsabile)

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
30.09.2012
Durata
24 Mesi
Enti finanziatori
SNSF
Stato
Concluso
Categoria
Swiss National Science Foundation / Project Funding / Mathematics, Natural and Engineering Sciences (Division II)