Tree Estimation Stochastic Volatility by Florescu Ionut (7 results)
Language: English
Published by VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2010
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Taschenbuch. Condition: Neu. Tree estimation for Stochastic Volatility Models The Anderson SPDE | Approximation for diffusion models using a recombining tree. Lyapunov exponent estimation for the Anderson model in continuous space | Ionut Florescu | Taschenbuch | Englisch | VDM Verlag Dr. Müller | EAN 9783639127669 | Verantwortl…iche Person für die EU: VDM Verlag Dr. Müller, Brivibas Gatve 197, 1039 RIGA, LETTLAND, customerservice[at]vdm-vsg[dot]de | Anbieter: preigu.
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Language: English
Published by VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2010
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Kartoniert / Broschiert. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Florescu IonutIonut Florescu is a Probability and Statistics professor currently at Stevens Institute of Technology, Hoboken, New Jersey, USA. He is a graduate of University of…Bucharest, Romania and of Purdue University, Indiana US.
Language: English
Published by VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2010
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Condition: New. PRINT ON DEMAND pp. 116.
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This text is divided into two parts. In the first part we present a methodology for approximating complex stochastic processes. Furthermore, we present an application to finance to calculate the price of American or European options when… the price of the underlying equity obeys these complex processes. In the second part we investigate the exponential behavior of the solution of the parabolic Anderson model when the time goes to infinity. We show that the relevant quantity (the Lyapunov exponent) exists, and we provide tight lower and upper bounds for it.
