Hyperbolic and Semi-Parametric Models in Finance

机译：金融中的双曲和半参数模型

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The benchmark Black-Scholes-Merton model of mathematical finance is parametric, based on the normal/Gaussian distribution. Its principal parametric competitor, the hyperbolic model of Barndorff-Nielsen, Eberlein and others, is briefly discussed. Our main theme is the use of semi-parametric models, incorporating the mean vector and covariance matrix as in the Markowitz approach, plus a non-parametric part, a scalar function incorporating features such as tail-decay. Implementation is also briefly discussed.

机译：基于正态/高斯分布的数学金融基准Black-Scholes-Merton模型是参数化的。简要讨论了其主要的参数竞争对手，Barndorff-Nielsen，Eberlein等人的双曲模型。我们的主要主题是使用半参数模型，该模型结合了Markowitz方法中的均值向量和协方差矩阵，以及一个非参数部分，一个标量函数，其特征包括尾衰减。还简要讨论了实现。

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来源
《International Conference on Disordered and Complex Systems; Jul 10-14, 2000; London, United Kingdom》|2000年|p.275-280|共6页
会议地点 London(GB)
作者
N.H. Bingham; Ruediger Kiesel;
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Department of Mathematical Sciences, Brunei University, Uxbridge, Middlesex UB8 3PH, UK;

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原文格式 PDF
正文语种 eng
中图分类 C9;
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专利

1. Semi-parametric modelling in finance: theoretical foundations [J] . N H Bingham, Rudiger Kiesel Quantitative finance . 2002,第4期

机译：金融中的半参数建模：理论基础
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4. Hyperbolic and Semi-Parametric Models in Finance [C] . N.H. Bingham, Ruediger Kiesel International conference on disordered and complex systems . 2001

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Hyperbolic and Semi-Parametric Models in Finance

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