Parameter Estimation in Finance Using Radial Basis Function Methods

Elisabeth Larsson; Lars Josef Höök; Erik Lindström; Lina von Sydow

Parameter Estimation in Finance Using Radial Basis Function Methods

Elisabeth Larsson, Lars Josef Höök, Erik Lindström, Lina von Sydow

Uppsala University

Research output: Contribution to conference › Paper, not in proceeding › peer-review

Abstract

Given time series market observations for a price process, the parameters in an assumed underlying model can be determined through maximum likelihood estimation. Transition probability densities need to be estimated between each pair of data points. We show that Gaussian radial basis function approximation of the Fokker-Planck equations for the densities leads to a convenient mathematical representation. We present numerical results for one and two factor interest rate models.

Original language	English
Publication status	Published - 2016 Nov 19
Event	SIAM Conference on Financial Mathematics and Engineering - Duration: 2016 Nov 17 → 2016 Nov 19 http://www.siam.org/meetings/fm16/index.php

Conference

Conference	SIAM Conference on Financial Mathematics and Engineering
Period	2016/11/17 → 2016/11/19
Internet address	http://www.siam.org/meetings/fm16/index.php

Subject classification (UKÄ)

Probability Theory and Statistics

Cite this

@conference{20b10b59d68b463ab8022425f5696b80,

title = "Parameter Estimation in Finance Using Radial Basis Function Methods",

abstract = " Given time series market observations for a price process, the parameters in an assumed underlying model can be determined through maximum likelihood estimation. Transition probability densities need to be estimated between each pair of data points. We show that Gaussian radial basis function approximation of the Fokker-Planck equations for the densities leads to a convenient mathematical representation. We present numerical results for one and two factor interest rate models.",

author = "Elisabeth Larsson and H{\"o}{\"o}k, {Lars Josef} and Erik Lindstr{\"o}m and {von Sydow}, Lina",

year = "2016",

month = nov,

day = "19",

language = "English",

note = " SIAM Conference on Financial Mathematics and Engineering ; Conference date: 17-11-2016 Through 19-11-2016",

url = "http://www.siam.org/meetings/fm16/index.php",

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TY - CONF

T1 - Parameter Estimation in Finance Using Radial Basis Function Methods

AU - Larsson, Elisabeth

AU - Höök, Lars Josef

AU - Lindström, Erik

AU - von Sydow, Lina

PY - 2016/11/19

Y1 - 2016/11/19

N2 - Given time series market observations for a price process, the parameters in an assumed underlying model can be determined through maximum likelihood estimation. Transition probability densities need to be estimated between each pair of data points. We show that Gaussian radial basis function approximation of the Fokker-Planck equations for the densities leads to a convenient mathematical representation. We present numerical results for one and two factor interest rate models.

AB - Given time series market observations for a price process, the parameters in an assumed underlying model can be determined through maximum likelihood estimation. Transition probability densities need to be estimated between each pair of data points. We show that Gaussian radial basis function approximation of the Fokker-Planck equations for the densities leads to a convenient mathematical representation. We present numerical results for one and two factor interest rate models.

UR - http://meetings.siam.org/sess/dsp_programsess.cfm?SESSIONCODE=61405

M3 - Paper, not in proceeding

T2 - SIAM Conference on Financial Mathematics and Engineering

Y2 - 17 November 2016 through 19 November 2016

ER -

Parameter Estimation in Finance Using Radial Basis Function Methods

Abstract

Conference

Subject classification (UKÄ)

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