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Title:Three Essays on Modeling Financial Risk and Pricing Financial Assets
Author(s):Ju, Xiongwei
Doctoral Committee Chair(s):Pearson, Neil D.
Department / Program:Finance
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):Economics, Commerce-Business
Abstract:Essay three: Nonparametric estimation of multifactor diffusion processes and its applications to Heath-Jarrow-Morton interest rate models . This essay develops a nonparametric estimation framework for multifactor diffusion processes with multivariate diffusion functions and applies it to multifactor Heath-Jarrow-Morton interest rate models. The nonparametrically estimated diffusion functions can help us to choose appropriate parametric functional forms of the diffusion functions and to determine the number of sufficient factors. It is found that a two-factor HJM model is in general sufficient and that the diffusion function for the first factor can not be reduced to a univariate function. The drift function under the risk neutral measure is estimated and compared with that estimated under the real measure, providing an estimate of the risk premium function based on historical data.
Issue Date:1999
Description:170 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1999.
Other Identifier(s):(MiAaPQ)AAI9953056
Date Available in IDEALS:2015-09-28
Date Deposited:1999

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