Sökning: "Carl Åkerlindh"

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1. 1. Simulation and Estimation of Diffusion Processes : Applications in Finance

   Författare :Carl Åkerlindh; Finansiell matematik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Diffusion processes; Kalman filter; Uncented Kalman filter; EM algorithm; Kernel estimation; Bandwidth selection; Multilevel Monte Carlo; Simulated maximum likelihood estimation; Julia language;

   Sammanfattning : Diffusion processes are the most commonly used models in mathematical finance, and are used extensively not only by academics but also practitioners. Nowadays a wide range of models, that can capture many of the effects observed in financial markets, are available. LÄS MER