Tail behavior - PowerPoint PPT Presentation

A Non-Gaussian Asymmetric Volatility Model

A Non-Gaussian Asymmetric Volatility Model. Geert Bekaert Columbia University and NBER Eric Engstrom Federal Reserve Board of Governors* * The views expressed herein do not necessarily reflect those of the Board of Governors of Federal Reserve System, or its staff. Overview.

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Rare-Event Simulation for Markov-Modulated Perpetuities

Rare-Event Simulation for Markov-Modulated Perpetuities. Henry Lam Joint Work with Jose Blanchet and Bert Zwart. What is Perpetuity. Infinite discounted sum of cash flows. Discount rate. 3. 4. 2. Time = 0. 1. Cash flow. Large Deviations Problem. Assumptions.

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269 views • 24 slides

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