Pricing, hedging and testing risky assets in financial markets

Pricing, hedging and testing risky assets in financial markets

State price density (SPD) and stochastic discount factor (SDF) are important elements in asset pricing. In this thesis, I first propose to use projection pursuit regression (PPR) and local polynomial regression (LPR) to estimate the SPD of interest rates nonparametrically. By using a similar approac...

Full description

Bibliographic Details
Main Author: Ren, Yu
Other Authors: Queen's University (Kingston, Ont.). Theses (Queen's University (Kingston, Ont.))
Format: Others
Language:en
en
Published: 2008
Subjects:
Interest rate options
Nonparametrics
State-price densities
HJ-distance
Online Access:http://hdl.handle.net/1974/1238

Internet

http://hdl.handle.net/1974/1238

Similar Items