Likelihood Inference for Diffusions: A Survey
Speaker: Yacine Ait-Sahalia, Princeton University Bendheim Centre for Finance, USA
Abstract: This presentation reviews closed form expansions for discretely sampled diffusions and their use for likelihood inference and testing . The method is applicable to a large class of models, covering both univariate and multivariate processes, and with a state vector that is either fully or partially observed. Examples are included.
- 11 July 2006
- City - Haymarket CB05D Level 3, Room 3.01
- Conference Delegates