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Forecasting dirty tanker freight rate index by using stochastic differential equations
Jafari, Hossein; Rahimi, Ghazaleh - In: International journal of financial engineering 5 (2018) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10012028815
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Ambit processes and stochastic partial differential equations
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - 2010
Persistent link: https://www.econbiz.de/10003959801
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Ambit processes and stochastic partial differential equations
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - In: Advanced mathematical methods for finance, (pp. 35-74). 2011
Persistent link: https://www.econbiz.de/10008991339
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Ambit Processes and Stochastic Partial Differential Equations
Barndorff-Nielsen, Ole E. - 2010
. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of … the Lévy noise analysis …
Persistent link: https://www.econbiz.de/10013144202
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Diffusion of new products with heterogeneous consumers
Fibich, Gadi; Golan, Amit - In: Mathematics of operations research 48 (2023) 1, pp. 257-287
Persistent link: https://www.econbiz.de/10014312551
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Modeling of the national economies in state-space : a fractional calculus approach
Škovránek, Tomáš; Podlubny, Igor; Petráš, Ivo - In: Economic modelling 29 (2012) 4, pp. 1322-1327
Persistent link: https://www.econbiz.de/10009667366
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Numerical solution of stochastic differential equations with jumps in finance
Platen, Eckhard; Bruti-Liberati, Nicola - 2010 - 1. ed.
Persistent link: https://www.econbiz.de/10003934874
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Financial modeling : a backward stochastic differential equations perspective
Crépey, Stéphane - 2013
Persistent link: https://www.econbiz.de/10009770436
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Solutions and simulations of some one-dimensional stochastic differential equations
Klebaner, Fima C.; Azmy, Eriny - In: Asia-Pacific financial markets 17 (2010) 4, pp. 365-372
Persistent link: https://www.econbiz.de/10009237754
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Method of Iterated Integrals for Solution of Stochastic Integrals with Applications to Monte Carlo Simulation of Stochastic Differential Equations
Amin, Ahsan - 2018
integrand are given by some stochastic differential equation. We also propose numerical simulation of stochastic differential … integrals terms at the initial time of the simulation along with the solution of the stochastic integrals which is found in … terms of Hermite polynomials and variance of the integrals. We apply the method of iterated integrals to simulation of …
Persistent link: https://www.econbiz.de/10012925940