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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Parameter Estimation of the Pareto-Beta Jump-Diffusion Model in Times of Catastrophe Crisis

Reducha, Wojciech January 2011 (has links)
Jump diffusion models are being used more and more often in financial applications. Consisting of a Brownian motion (with drift) and a jump component, such models have a number of parameters that have to be set at some level. Maximum Likelihood Estimation (MLE) turns out to be suitable for this task, however it is computationally demanding. For a complicated likelihood function it is seldom possible to find derivatives. The global maximum of a likelihood function defined for a jump diffusion model can however, be obtained by numerical methods. I chose to use the Bound Optimization BY Quadratic Approximation (BOBYQA) method which happened to be effective in this case. However, results of Maximum Likelihood Estimation (MLE) proved to be hard to interpret.
Financial Mathematics
Calibration
Parameter Estimation
MLE
Likelihood
BOBYQA
Jump-diffusion
Pareto-Beta
Applied mathematics
Tillämpad matematik
Mathematical statistics
Matematisk statistik

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