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Affine and quadratic Markov processe...

Chen, Li.

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Affine and quadratic Markov processes and their applications in finance.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Affine and quadratic Markov processes and their applications in finance./
作者:	Chen, Li.
面頁冊數:	241 p.
附註:	Source: Dissertation Abstracts International, Volume: 65-09, Section: B, page: 4729.
Contained By:	Dissertation Abstracts International65-09B.
標題:	Engineering, Electronics and Electrical. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3148415
ISBN:	0496065742

Affine and quadratic Markov processes and their applications in finance.
Chen, Li.

Affine and quadratic Markov processes and their applications in finance. - 241 p.

Source: Dissertation Abstracts International, Volume: 65-09, Section: B, page: 4729.

Thesis (Ph.D.)--Princeton University, 2004.

This thesis first presents general definitions and characterizations of regular affine and quadratic processes using Markov semigroup theory. The studies of these two processes not only provide a solid mathematical foundation for their various financial applications, but also allow the traditional models to be extended into a general Markovian setting.

ISBN: 0496065742Subjects--Topical Terms:

626636
Engineering, Electronics and Electrical.

Affine and quadratic Markov processes and their applications in finance.
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245 1 0 $a Affine and quadratic Markov processes and their applications in finance.
300 $a 241 p.
500 $a Source: Dissertation Abstracts International, Volume: 65-09, Section: B, page: 4729.
500 $a Adviser: H. Vincent Poor.
502 $a Thesis (Ph.D.)--Princeton University, 2004.
520 $a This thesis first presents general definitions and characterizations of regular affine and quadratic processes using Markov semigroup theory. The studies of these two processes not only provide a solid mathematical foundation for their various financial applications, but also allow the traditional models to be extended into a general Markovian setting.
520 $a As an application of non-conservative affine processes, a class of simple models for credit migration and spread curves of a single firm is proposed. Default is triggered either by successive downgrading of the firm or an unpredictable jump of the state process. Several variants of the original models have been calibrated using both the Treasury rates and the average corporate bond yields. Filtering techniques and the quasi maximum likelihood estimator are applied jointly to the problem of estimating the structural parameters of the affine and quadratic models. Relative empirical performance of the two models has been investigated.
520 $a Then a general and efficient method for valuing credit derivatives based on multiple entities is developed. This pricing strategy includes the considerations of interdependence of market and credit risk, joint credit migration and counterparty default risk of multiple firms. Closed form expressions for the joint distribution of default times, default correlations, and credit spreads are provided.
520 $a Based on the previous modeling methodology for credit migration, a model is proposed to interpret the correlation between the returns on individual stocks and the yield changes of the bonds issued by the same firm. The dynamics of a firm's credit migration, earnings process and default event are jointly characterized with consideration of the stochastic interest rates. This new modeling strategy provides a unifying framework for pricing Treasury rates, corporate bonds and stocks subject to default risk. Furthermore, the model is implemented using integrated data from both bond and stock markets. Its empirical fitting ability and the pricing performance are investigated.
520 $a Finally, under the assumption of information asymmetry between market investors and firm managers, a reduced form model of a firm is developed in order to derive optimal investment strategies and capital structures while taking into account the effects of dividend policies and taxes.
590 $a School code: 0181.
650 4 $a Engineering, Electronics and Electrical. $3 626636
650 4 $a Economics, Finance. $3 626650
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