Parameter Estimation Risk

Radu Tunaru

Chapter 9 in Model Risk in Financial Markets:From Financial Engineering to Risk Management, 2015, pp 205-226 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionProblems with Estimating DiffusionsA brief reviewParameter estimation for the Vasicek modelParameter estimation for the CIR modelProblems with Estimation of Jump-Diffusion ModelsThe Gaussian-Poisson jump-diffusion modelML Estimation under the Merton ModelInexistence of an unbiased estimatorA Critique of Maximum Likelihood EstimationBootstrapping Can Be Unreliable TooNotes and Summary

Keywords: Model Risk; Risk Management; Financial Engineering; Financial Markets (search for similar items in EconPapers)
Date: 2015
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