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Third Brazilian Conference on Statistical Maresias, March 25 - 30, 2007 |
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On Transition Densities for General Diffusion ProcessMarc GoovaertsWe present easy-computable approximations to transition density function for general (possibly multivariate) diffusion process. Numerical evidence shows that our approximation improve on existing methods in speed, accuracy or both. Maximum likelihood estimation is investigated. Applications to the valuation of derivative securities are briefly discussed. Observation: Professor Marc Goovaerts was unable to attend the conference, and asked us at the last moment to be substituted by Steven Vanduffel (KULeuven) who presented a talk titeled "Conditional Expectations as a Valuable Risk Management Tools", highly appreciated by the participants. The Organzing Committee is greatful both Marc and Steven. |