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CIR process
Results: 13

#	Item
11	SIMULATION OF SQUARE-ROOT PROCESSES ¨ LEIF B.G. ANDERSEN, PETER JACKEL, AND CHRISTIAN KAHL Abstract. We discuss methods for time-discretization and simulation of squareroot SDEs, both in isolation (CIR process) and as Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2009-03-14 14:09:43 Heston model Normal distribution Stochastic differential equation Stochastic volatility CIR process Autoregressive conditional heteroskedasticity Volatility Martingale Statistics Stochastic processes Mathematical finance
12	FX and cross-currency options modelling with Levy processes timechanged by other Levy processes John Crosby Global Head of Quantitative Analytics and Research, Lloyds TSB Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2008-07-21 09:34:03 Ole Barndorff-Nielsen Neil Shephard Stochastic CIR process Lévy process Dynamics Statistics Stochastic processes Ornstein–Uhlenbeck process
13	SIMULATION OF SQUARE-ROOT PROCESSES ¨ LEIF B.G. ANDERSEN, PETER JACKEL, AND CHRISTIAN KAHL Abstract. We discuss methods for time-discretization and simulation of squareroot SDEs, both in isolation (CIR process) and as Add to Reading List Source URL: www.pjaeckel.webspace.virginmedia.com Language: English - Date: 2011-07-26 17:11:37 Heston model Normal distribution Stochastic differential equation Stochastic volatility CIR process Autoregressive conditional heteroskedasticity Volatility Martingale Statistics Stochastic processes Mathematical finance

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