Questions tagged [parameter-estimation]
The parameter-estimation tag has no usage guidance.
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What are common parametric forms for VIX smiles?
It is common in SPX markets to fit smiles using Stochastic volatility-inspired and Surface stochastic volatility-inspired parametric forms introduced by Gatheral and Jacquier (2014). In VIX markets ...
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Comparing standard error asymptotics of standard deviation and mean absolute deviation estimators
I was reading Chapter 4 of Jean-Philippe Bouchaud's book "Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management" and in section 4.2.2 author was ...
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Maximum likelihood estimation of system of correlated SDEs
I have the following system of SDEs (which you can think of as 3 different stocks)
$$dX_t^1 = \mu_t X_t^1 dt + \sigma_t X_t^1 dW_t^1$$
$$dX_t^2 = \mu_2 dt + \sigma_2 dW_t^2$$
$$dX_t^3 = \mu_3 dt + \...
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What is the process for using OLS on time series models (HAR like)
I am reading about HAR models for realised variance and they all seem to use WLS or OLS to calculate the parameters. Now I understand how that works if you just use say the 10 years of AAPL intraday ...
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ESSVI calibration problem in translating parameter bounds
I am trying to implement the calibration algorithm presented in the "ESSVI Implied Volatility Surface" white paper from Factset by Akhundzadeh et al.
The eSSVI model includes 2 variables ...
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Calibration for CIR Model Discretization for Predictor Corrector and Milstein method
I'm new to Quantitative Finance. I've data which I need to fit a CIR model and estimate its parameters.
$ dX_{t+1} = a(b-X_{t})dt + \sigma \sqrt{X_t}dW_{t} $
While I can fit and obtain ...
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how to estimate Geometric Brownian Motion parameters on long timeseries [closed]
I'm working on a 50-years financial timeseries and I would like to simulate GBM paths from it.
The first thing I'm supposed to do is to estimate the drift $\mu$ and the volatility $\sigma$ parameters.
...
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How can I estimate value-at-risk of a long/short portfolio without making simplifying assumptions?
I have had a couple of long-standing questions about the mathematics behind a simple "vanilla" parametric VaR calculation and I'm hoping someone could clear up my confusion. Most likely I am ...
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Nonlinear Constrained optimization for a CIR model
I want to calibrate a CIR model which is commonly used to model the evolution of interest rates. Briefly speaking, we know that its dynamics is of the form
\begin{equation}
dr_t = \kappa (\theta - r_t)...
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Estimating volatility of a geometric Brownian motion at different sample rates
I have troubles estimating volatility (= standard deviation of log returns) when the data is re-sampled at different sample frequencies.
Problem
I have generated a time series data using a geometric ...
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Option pricing when stock price follows binomial tree
Assume that the stock price is currently trading at $S_0$. It is known that the stock price follows a binomial tree, such that its price will be either $S_0e^{\theta_u}$ or $S_0e^{−\theta_d}$ over the ...
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How to parameterising Greek Surfaces?
I'm currently working on my master thesis, where I have data on option trading volume and flow (number of shares bought minus sold; i.e., net position), divided among three kinds of market ...
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Robust standard errors OLS for term structure
Suppose i have estimated the following model with OLS: $y_{1,t+1} - y_{1,t} = \alpha + \beta y_{1,t} + \epsilon_{t+1}$. Where $y_{1,t}$ is the 1 month zero-coupon yield at time t. What would be an ...
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Initial forward variance curve $\xi_0(t)$ in the Rough Bergomi model
The rough Bergomi model is defined as
\begin{cases}
\frac{dS_t}{S_t} = \sqrt{v_t}dW_t^1 \\
v_t=\xi_0(t)\exp(\eta \tilde{W}_t^H-\frac{1}{2}\eta^2t^{2H}) \\
\tilde{W}_t^H = \int_0^t \sqrt{2H}(t-s)^{H-\...
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MatLab code does not work for Heston model calibration
I am trying to calibrate Heston model on some data and I have the following code. Code is supposed, after it reads the data, to give back 5 parameters. However, I get an empty answer from MatLab. Does ...
