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Title:Essays on Dynamics Models in Finance
Author(s):Li, Minqiang
Doctoral Committee Chair(s):Neil Pearson
Department / Program:Finance
Discipline:Finance
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:Ph.D.
Genre:Dissertation
Subject(s):Economics, Finance
Abstract:The third chapter is on a damped diffusion framework in financial modelling. With the popular CEV process for the underlying stock or stochastic volatility, the martingale option pricing approach can fail. I propose a flexible damped diffusion framework to overcome these drawbacks. This framework is useful in many areas of financial modeling. To perform MLE, I express the small-time expansion developed by Ait-Sahalia in the untransformed variable and obtain explicitly the second-order coefficient. This result makes it easier to approximate the transition densities of diffusion processes.
Issue Date:2005
Type:Text
Language:English
Description:156 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2005.
URI:http://hdl.handle.net/2142/87431
Other Identifier(s):(MiAaPQ)AAI3182313
Date Available in IDEALS:2015-09-28
Date Deposited:2005


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