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math.ST2015
Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier +1
We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations, where the jump process can b…
math.ST2015
Maximum Likelihood Estimation for Wishart processes
Aurélien Alfonsi, Ahmed Kebaier, Clément Rey
In the last decade, there has been a growing interest to use Wishart processes for modelling, especially for financial applications. However, there are still few studies on the est…