Pub Date : 2009-11-14DOI: 10.1142/9789814304078_0007
Hiroki Masuda, 増田 弘毅
Estimation of an asset price process under the physical measure can be regarded as the first step of the calibration problem, hence is of practical importance. In this article, supposing that a log-price process is expressed by a possibly skewed stable driven model and that a high-frequency dataset over a fixed period is available, we provide practical procedures of estimating the dominating parameters. Especially, the scale parameter may be time-varying and possibly random as long as it is independent of the driving skewed
{"title":"On Statistical Aspects in Calibrating a Geometric Skewed Stable Asset Price Model","authors":"Hiroki Masuda, 増田 弘毅","doi":"10.1142/9789814304078_0007","DOIUrl":"https://doi.org/10.1142/9789814304078_0007","url":null,"abstract":"Estimation of an asset price process under the physical measure can be regarded as the first step of the calibration problem, hence is of practical importance. In this article, supposing that a log-price process is expressed by a possibly skewed stable driven model and that a high-frequency dataset over a fixed period is available, we provide practical procedures of estimating the dominating parameters. Especially, the scale parameter may be time-varying and possibly random as long as it is independent of the driving skewed","PeriodicalId":313471,"journal":{"name":"MI Preprint Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2009-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126450661","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We consider a curve flow for maps from a real line into a compact almost Hermitian manifold, which is governed by a third order nonlinear dispersive equation. This article shows short-time existence of a solution to the initial value problem for the equation. The difficulty comes from the lack of the Kahler condition on the target manifold, since the covariant derivative of the almost complex structure causes a loss of one derivative in our equation and thus the classical energy method breaks down in general. In the present article, we can overcome the difficulty by constructing a gauge transformation on the pull-back bundle for the map to eliminate the derivative loss essentially, which is based on the local smoothing effect of third order dispersive equations on the real line.
{"title":"A Curve Flow on an Almost Hermitian Manifold Evolved by a Third Order Dispersive Equation","authors":"E. Onodera","doi":"10.1619/FESI.55.137","DOIUrl":"https://doi.org/10.1619/FESI.55.137","url":null,"abstract":"We consider a curve flow for maps from a real line into a compact almost Hermitian manifold, which is governed by a third order nonlinear dispersive equation. This article shows short-time existence of a solution to the initial value problem for the equation. The difficulty comes from the lack of the Kahler condition on the target manifold, since the covariant derivative of the almost complex structure causes a loss of one derivative in our equation and thus the classical energy method breaks down in general. In the present article, we can overcome the difficulty by constructing a gauge transformation on the pull-back bundle for the map to eliminate the derivative loss essentially, which is based on the local smoothing effect of third order dispersive equations on the real line.","PeriodicalId":313471,"journal":{"name":"MI Preprint Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114504277","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：