Bayesian Stochastic Differential Equation Modeling - Muhannad Al-Saadony
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Saadetis 12-18 tööpäeva jooksul
30-päevane tagastamisõigus
We consider some popular stochastic differential equation models used in finance, such as the Vasicek Interest Rate model, the Heston model and a new fractional Heston model. We discuss how to perform inference about unknown quantities associated with these models in the Bayesian framework. We apply our methodology to simulated and real financial data with success. We then discuss how to make forecasts usin ... Täielik kirjeldus
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Kirjeldus
We consider some popular stochastic differential equation models used in finance, such as the Vasicek Interest Rate model, the Heston model and a new fractional Heston model. We discuss how to perform inference about unknown quantities associated with these models in the Bayesian framework. We apply our methodology to simulated and real financial data with success. We then discuss how to make forecasts using both the Heston and the fractional Heston model. We make comparisons between the models and show that using our new fractional Heston model can lead to improve forecasts for real financial data.
Lisateave
| Autor | Muhannad Al-Saadony |
|---|---|
| Kirjastaja | LAP LAMBERT Academic Publishing |
| Väljalaskeaasta | 2015 |
| Kaanetüüp | Pehme kaanega |
| EAN | 9783659785344 |