Bayesian Calibration for Low Frequency Data

Radu Tunaru

Chapter 12 in Model Risk in Financial Markets:From Financial Engineering to Risk Management, 2015, pp 263-281 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionProblems in Pricing Derivatives for Assets with a Slow Business TimeChoosing the Correct Auxiliary ValuesEmpirical ExemplificationsA mean-reversion model with predictability in the driftData augmentationMCMC Inference for the IPD modelDerivatives PricingNotes and Summary

Keywords: Model Risk; Risk Management; Financial Engineering; Financial Markets (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814663410_0012 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814663410_0012 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814663410_0012

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().