The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Mathematical Review on the Local Linearizing Method of Drift Coefficient

추세계수 국소선형근사법의 특성과 해석

  • Yoon, Min (Dept. of Applied Statistics, Konkuk University) ;
  • Choi, Young-Soo (Dept. of Mathematics, Hankuk University of Foreign Studies) ;
  • Lee, Yoon-Dong (Dept. of Applied Statistics, Konkuk University)
  • 윤민 (건국대학교 응용통계학과) ;
  • 최영수 (한국외국어대학교 수학과) ;
  • 이윤동 (건국대학교 응용통계학과)
  • Published : 2008.10.31
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Abstract

Modeling financial phenomena with diffusion processes is a commonly used methodology in the area of modern finance. Recently, various types of diffusion models have been suggested to explain the specific financial processes, and their related inference methodology have been also developed. In particular, likelihood methods for the efficient and accurate inference have been explored in various ways. In this paper, we review the mathematical properties of an approximated likelihood method, which is obtained by linearizing the drift coefficient of a diffusion process.

확산모형은 금융현상을 모형화하기 위한 방법으로 자주 사용된다. 특히 최근에 제안된 다양한 확산모형들은 정교한 추론방법을 필요로 하게 되고, 이러한 필요성에 따라 정밀도가 높은 여러 가지 추론 방법에 대한 연구가 진행되고 있다. 본 논문에서는 확률편미분방정식에 의하여 표현되는 확산과정의 추론을 위하여 사용되는 여러 가지 방법 중 우도추론법에 대하여 살펴보게 된다. 다양한 우도추론법 중에서도, 근사적 우도추론법의 일종인 추세계수 국소선형근사법을 중심으로 그 수리적 성질을 검토한다.

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