Unformatted text preview: factors driving univariate series at well-separated time scales. This is tested with simulated data as well as foreign exchange data. Then we discuss the usage of scaled volatilities to derivatives pricing by Monte Carlo simulations with the feature of variance reduction. OUTLINE 1. INTRODUCTION 2. MULTISCALE MODELING AND MCMC ESTIMATION 2.1 Prior specification 2.2 Estimation 3. SIMULATION STUDY 4. EMPIRICAL APPLICATION: FX DATA 5. MONTE CARLO PRICING UNDER MULTISCALE VOLATILITY MODELS 5.1 Hedging Martingale as a Control 5.2 Linear and Nonlinear Control for Derivatives Pricing 6. CONCLUSION...
View Full Document
This note was uploaded on 07/26/2011 for the course ECON 101 taught by Professor Markspenser during the Spring '11 term at Webster FL.
- Spring '11