Physical Sciences and Mathematics Commons^™

Online Nonparametric Estimation Of Stochastic Differential Equations, Xin Wang

Electronic Thesis and Dissertation Repository

The advent of the big data era presents new challenges and opportunities for those managing portfolios, both of assets and of risk exposures, for the financial industry. How to cope with the volume of data to quickly extract actionable information is becoming more crucial than ever before. This information can be used, for example, in pricing various financial products or in calculating risk exposures to meet (ever changing) regulatory requirements.

Stochastic differential equations are often used to model the risk factors in finance. Given the presumption of a functional form for the coefficients of these equations, the required parameters can …