Continuous-Time Methods in Finance: A Review and an Assessment
By Suresh Sundaresan. 2000
232 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/6ccb33963bf0ab08fb56ce24716a29cdf8b31386
How researchers see this paper
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In Finance
- Hongwei Long
- Chunhua Ma
- J. Jeisman
- Yasutaka Shimizu
- Aubrey Hurn
- Kenneth P. Lindsay
- Thomas Lux
- Hiroki Masuda
Citations in the corpus
- Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations (2006, background): “SDEs are also central to much of modern finance theory and have been widely used to model the behaviour of key variables such as the instantaneous short-term interest rate, asset prices, asset returns and their volatility (see Sundaresan, 2000).”
- On Simulated Likelihood of Discretely Observed Diffusion Processes and Comparison to Closed-Form Approximation (2007, unknown): “…Institute of Mathematical Statistics, and Interface Foundation of North America Journal of Computational and Graphical Statistics, Volume 16, Number 3, Pages 672–691 DOI: 10.1198/106186007X237306 672 underlying process in economic and financial applications (see, e.g., Sundaresan 2000).”
- Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2005, unknown): “Pritsker (1998) shows that 1 Sundaresan (2001) states that ‘‘perhaps the most significant development in the continuous-time field during the last decade has been the innovations in econometric theory and in the estimation techniques for models in continuous time.’’”
- Jackknifing Bond Option Prices (2005, unknown): “Sundaresan (2000) provides a recent extensive survey of these models and their many financial applications.”
- Least squares estimators for stochastic differential equations driven by small Lévy noises (2017, methodology): “We refer to Sundaresan [38] and Fan [7] for overviews, Barndorff-Nielsen, Mikosch and Resnick [2] for recent developments on Lévy-driven processes, and Sørensen [34], Shimizu and Yoshida [33], Shimizu [30], Ogihara and Yoshida [26] and Masuda [25] for statistical inference.”