Stochastic Processes. A Critical Synthesis
Palabras clave:
Wiener processes, diffusion processes, Ito formule, Ornstein-Uhlenbeck, Merton, Vasicek, Cox Ingersoll and Ross, Ho-Lee, Longstaff, Hull-WhiteResumen
The subject of Stochastic Processes is highly specialized and here only we present an assessment of the subject. To explain uncertainty dynamics a model is required which consists of a system et stochastic differential equation. We provide a critical synthesis of the literature and analyze the geometric behavior of a basket of useful models, stopping at computer simulation and borrowing ideas taken from the Monte Carlo method.
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Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-SinDerivadas 4.0.
