Numerical approximation and parametric statistical inference of stochastic differential equations, with applications to finance
Stochastic differential equations (SDEs) have become an indispensable tool for modelling the dynamics of key state variables in mathematical finance such as instantaneous short rates of interest, share prices, and volatility processes. The appropriate application of SDEs requires reliable methods of...
| Main Author: | |
|---|---|
| Published: |
University of Strathclyde
2014
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.632689 |