Essays on Dynamics Models in Finance

The third chapter is on a damped diffusion framework in financial modelling. With the popular CEV process for the underlying stock or stochastic volatility, the martingale option pricing approach can fail. I propose a flexible damped diffusion framework to overcome these drawbacks. This framework is useful in many areas of financial modeling. To perform MLE, I express the small-time expansion developed by Ait-Sahalia in the untransformed variable and obtain explicitly the second-order coefficient. This result makes it easier to approximate the transition densities of diffusion processes.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Finance

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Li, Minqiang

Contributors dc:contributor

• Neil Pearson

• Economics, Finance

Language dc:language

eng

Identifier

(MiAaPQ)AAI3182313

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/87431