Sökning: "Jonas Ströjby"

Hittade 1 avhandling innehållade orden Jonas Ströjby.

1. 1. On inference in partially observed Markov models using sequential Monte Carlo methods

   Författare :Jonas Ströjby; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis concerns estimation in partially observed continuous and discrete time Markov models and focus on both inference about the conditional distribution of the unobserved process as well as parameter inference for the dynamics of the unobserved process. Paper A concerns calibration of advanced stock price models, in particular the Bates and NIG-CIR models, using options data observed through bid-ask spreads. LÄS MER