| Title | Inference for Non-linear Diffusions and Jump-Diffusions: A Monte Carlo EM approach |
| Authors | Erik Lindström |
| Alternative Location | http://www.wseas.us/e-libra... |
| Publication | Recent Researches in Automatic Control and Electronics, Proceedings of the 14th International Conference on Automatic Control, Modelling & Simulation (ACMOS '12) |
| Year | 2012 |
| Pages | 110 - 115 |
| Document type | Conference paper |
| Conference name | 14th International Conference on Automatic Control, Modelling & Simulation (ACMOS '12) |
| Conference Date | 2012-04-02/2012-04-04 |
| Conference Location | Saint Malo & Mont Saint-Michel, Frankrike |
| Status | Published |
| Quality controlled | Yes |
| Language | eng |
| Publisher | WSEAS Press |
| Abstract English | We propose a simple, general and computationally efficient algorithm for maximum likelihood estima-<br> tion (MLE) of parameters in diffusion and jump-diffusion processes. This is conducted within a Monte Carlo<br> EM-algorithm, where the smoothing distribution is computed using resampling. The results are encouraging as<br> we can approximate the MLE well for the models studied when using simulated data. We also obtain reasonable<br> estimates, compared to other papers, when fitting the Heston and Bates model to S&P 500 and VIX data. |
| Keywords | Jump-diffusions, Maximum Likelihood estimation, MCEM-algorithm, Resampling, Heston model, Bates model, |
| ISBN/ISSN/Other | ISSN: 978-1-61804-080-0 (print) |
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