Journal of University of Chinese Academy of Sciences >
Estimating the Parameters of Diffusion Equation by MCMC
Received date: 2003-07-11
Revised date: 2003-10-08
Online published: 2004-05-10
Parameters of the diffusion about yield rate of Shanghai Index are obtained by using the MCMC method. Then, the distribution of future yield of next day is given by Monte Carlo, and the validity of the distribution is checked.At last, some risk analysis is made.
Key words： MCMC; diffusion equation; risk analysis
WU ZhenXiang , MIAO BaiQi . Estimating the Parameters of Diffusion Equation by MCMC[J]. Journal of University of Chinese Academy of Sciences, 2004 , 21(3) : 310 -314 . DOI: 10.7523/j.issn.2095-6134.2004.3.004
[1] Gilks, et al.Markov chain monte carlo in practice.Chapman &Hall, 1996
[2] Roberts G O.Markov chain concepts related to sampling algorithms.Chapman &Hall, 1995
[3] Karatzas I, Shreve S E.Brownian motion and stochastic.Calculus, 2nd edition.New York:Springer, 1991
[4] Kessler M.Estimation of an ergodic diffusion from discrete observations.Scandinavian Journal of Statistics, 1997, 24:211-229
[5] Duffie D, Glyn, P.Estimation of multifactor continuous time interest rate model.working paper, Federal Reserve Board of Governors, 1996
[6] A It-Sahalia Y.Nonparametric pricing of interest rate derivative securities.Econometrica,1996, 64:527-560
[7] Garland B Durham, A Ronald Gallant.Numerical techniques formaximum likehood estimation of continuous-time diffusion.Journal of Business & Economic Statistics, 2002,20:297-316
[8] 吴振翔, 缪柏其, 肖敬红.用蒙特卡罗方法计算股价转移概率密度的一点应用.中国科学技术大学学报, 2003(已接收)
[9] Jones C.A bayesian method for the analysis of diffusion and jump-diffusion processes.working paper, University of Pennsylvania, Wharton School of Business, 1998
[10] Eraker, B.MCMC analysis of diffusion models with application to finance.Journal of Business &Economic Statistics, 2001,19:177-191
/
| 〈 |
|
〉 |