Quantitative finance

Finance in the frequency domain

The Fourier transform from the time-domain to the frequency-domain is a powerful tool for an abundance of applications. In this lecture, the focus is on that of finance and risk. A brief introduction to the Fourier transform is given, and then an …

Likelihood Estimation of Jump-Diffusions: Extensions from Diffusions to Jump-Diffusions, Implementation with Automatic Differentiation, and Applications

This lecture considers the problem of likelihood-based parameter estimation for time-homoge- neous jump-diffusion processes. The problem is that there often is no analytic solution to the stochastic differential equations driving the process. Thus, …