JSM 2004 - Toronto

Abstract #302241

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Activity Number: 60
Type: Other
Date/Time: Monday, August 9, 2004 : 8:30 AM to 10:20 AM
Sponsor: ASA
Abstract - #302241
Title: Bayesian Methods in Finance
Author(s): Nicholas Polson*+
Companies: University of Chicago
Address: 1101 East 58th Street, Chicago, IL, 60637-1561,
Keywords:
Abstract:

This talk develops Bayesian methods for finance. A number of common finance models such as Black-Scholes and the Merton model are described together with applications to option pricing and portfolio choice. Particular emphasis is given to statistical inference problems where the researcher has to infer latent state variables and parameters from price data. This will include an introduction to Bayesian methods for inference in continuous-time asset pricing models and sequential inference methods for performing online estimation. Markov chain Monte Carlo methods will also provide a tool for exploring these financial econometric models and distributions. Examples include equity price models, option pricing models, term structure models, and regime-switching models.

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Revised March 2004