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OrnsteinUhlenbeck process
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1	A Hidden Markov Stochastic Volatility Model for Energy Prices Robert J. Elliott∗ Tao Lin† Hong Miao‡ To describe the complex behavior of energy prices, we propose a stochastic volatility model, where Add to Reading List Source URL: www.bbk.ac.uk Language: English - Date: 2007-03-27 13:47:21 Mathematical finance Economy Applied mathematics Finance Volatility Stochastic volatility OrnsteinUhlenbeck process Benchmark CoxIngersollRoss model International Petroleum Exchange Volatility smile Implied volatility
2	STATIONARY TANGENT: THE DISCRETE AND NON-SMOOTH CASE U. KEICH Abstract. In [5] we deﬁne a stationary tangent process, or a locally optimal stationary approximation, to a real non-stationary smooth Gaussian process. Thi Add to Reading List Source URL: www.maths.usyd.edu.au Language: English - Date: 2002-12-09 16:28:18 Mathematical analysis Probability Stochastic processes Stochastic differential equations Markov models Signal processing Stationary process Derivative Spectrum Normal distribution OrnsteinUhlenbeck process Markov chain
3	A Variational Analysis of Stochastic Gradient Algorithms Stephan Mandt Columbia University, Data Science Institute, New York, USA SM 3976@ COLUMBIA . EDU Add to Reading List Source URL: jmlr.org Language: English - Date: 2016-07-20 01:41:10 Statistics Mathematical analysis Statistical theory Estimation theory Bayesian statistics Stochastic optimization Probability theory Computational statistics Expectationmaximization algorithm Stochastic gradient descent OrnsteinUhlenbeck process Variational Bayesian methods
4	Microsoft Word - SpreadOption-conference1-tk.doc Add to Reading List Source URL: www.bbk.ac.uk Language: English - Date: 2007-03-27 13:46:57 Mathematical finance Economy Options Finance Money Cointegration Futures contract Derivative Mean reversion Spread option Calendar spread OrnsteinUhlenbeck process
5	A Variational Analysis of Stochastic Gradient Algorithms Stephan Mandt , Matthew D. Hoffman , David M. Blei 1 2 Add to Reading List Source URL: www.stephanmandt.com Language: English - Date: 2016-06-23 13:49:43 Estimation theory Statistical theory Econometrics M-estimators Stochastic processes Loss function OrnsteinUhlenbeck process Stochastic gradient descent Likelihood function
6	Microsoft Word - SpreadOption-conference1-tk.doc Add to Reading List Source URL: www.bbk.ac.uk Language: English - Date: 2007-03-27 13:47:17 Mathematical finance Options Econometrics Financial markets Cointegration Time series analysis Futures contract Mean reversion Derivative Spread option Calendar spread OrnsteinUhlenbeck process
7	Best estimate calculations of saving contracts by closed formulas – Application to the ORSA - François BONNIN (Altia) - Frédéric PLANCHET (Université Lyon 1, Laboratoire SAF) - Marc JUILLARD (Winter & Associés) 20 Add to Reading List Source URL: docs.isfa.fr Language: English - Date: 2013-03-25 06:11:44 Statistical randomness Mathematics Mathematical analysis Stochastic differential equations Mathematical finance Applied mathematics Fixed income analysis OrnsteinUhlenbeck process Discretization HullWhite model Brownian model of financial markets