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Volatilidad estocástica y la ecuación de Fokker-Planck: parámetros dependientes del tiempo y filtro de Kalman

Author

Listed:
  • Claudia Estrella Castillo Ramírez

    (Universidad Autónoma Metropolitana)

Abstract

This paper is aimed to examine the relationship between stochastic volatility and the stationary probability density through the Fokker-Planck equation. The proposed stochastic process to lead volatility extends the research from Grajales-Correa, Pérez-Ramírez and Venegas-Martínez (2008), and Oztukel and Wilmott (1998), so that the parameters of the volatility process are dependent on time, in which case the Kalman’s (1960) filter should be used for estimation purposes

Suggested Citation

  • Claudia Estrella Castillo Ramírez, 2010. "Volatilidad estocástica y la ecuación de Fokker-Planck: parámetros dependientes del tiempo y filtro de Kalman," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 4(1), pages 64-75.
    • Handle: RePEc:ega:rafega:201005
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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2010V4A5Castillo.pdf
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    More about this item

    Keywords

    Stochastic volatility; diffusion process;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • D1 - Microeconomics - - Household Behavior

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