This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 214
Type: Invited
Date/Time: Monday, August 2, 2010 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract - #306031
Title: Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices
Author(s): Jonathan Stroud*+ and Michael Johannes and Nicholas Polson
Companies: The George Washington University and Columbia University and The University of Chicago
Address: , , ,
Keywords: Filtering ; Stochastic Volatility ; Jump Diffusion ; Particle Filter ; Option Prices ; Forecasting
Abstract:

This paper provides an optimal filtering methodology in discretely observed continuous-time jump-diffusion models. Although the filtering problem has received little attention, it is useful for estimating latent states, forecasting volatility and returns, computing model diagnostics such as likelihood ratios, and parameter estimation. Our approach combines time-discretization schemes with Monte Carlo methods. It is quite general, applying in nonlinear and multivariate jump-diffusion models and models with non-analytic observations equations. We provide a detailed analysis of the filter's performance, and analyze four applications: disentangling jumps from stochastic volatility, forecasting volatility, comparing models via likelihood ratios, and filtering using option prices and returns.


The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.

Back to the full JSM 2010 program




2010 JSM Online Program Home

For information, contact jsm@amstat.org or phone (888) 231-3473.

If you have questions about the Continuing Education program, please contact the Education Department.