Search for tag: "ornstein-uhlenbeck"

4 Media

Lecture 6.2: Levy-Processes and non-Gaussian… duration 1 hour 46 minutes Lecture 6.2: Levy-Processes and non-Gaussian… Lecture 6.2: Levy-Processes and non-Gaussian Ornstein-Uhlenbeck processes	Lecture 6.2: Levy-Processes and non-Gaussian Ornstein-Uhlenbeck processes Simulation of Poisson and compound Poisson processes. Simulation of subordinated Brownian motion and non-Gaussian Ornstein-Uhlenbeck processes. poisson process +3 More From Tiziano Vargiolu 10 plays 0
Lecture 2 - Simulation of basic processes duration 1 hour 36 minutes Lecture 2 - Simulation of basic processes Lecture 2 - Simulation of basic processes	Lecture 2 - Simulation of basic processes Examples: simulation from the multidimensional Gaussian law. Cholesky decomposition, PCA. Examples: generation of the skeleton of the multidimensional Brownian motion and the Ornstein-Uhlenbeck… gaussian vectors +4 More From Tiziano Vargiolu 10 plays 0
Lecture 2: Equations with unbounded coefficients… duration 1 hour 41 minutes Lecture 2: Equations with unbounded coefficients… Lecture 2: Equations with unbounded coefficients and H > 1/2	Lecture 2: Equations with unbounded coefficients and H > 1/2 1. Cox-Ingersoll-Ross equations with fBm. 2. Equations with unbounded drift. 3. Reflected Ornstein-Uhlenbeck equations. hurst coefficient +5 More From Tiziano Vargiolu 8 plays 0
Lectures 70-71: Computationally simple trees duration 1 hour 42 minutes Lectures 70-71: Computationally simple trees Lectures 70-71: Computationally simple trees	Lectures 70-71: Computationally simple trees Building computationally simple trees: method of Nelson-Rawaswamy. Pricing of an option written on an exponential Ornstein-Uhlenbeck process: non-parallel and parallel MATLAB… computationally simple trees +5 More From Tiziano Vargiolu 12 plays 0