Simple simulation schemes for CIR and Wishart processes
Paolo Baldi; Camilla Pisani
| Year of publication: |
2013
|
|---|---|
| Authors: | Baldi, Paolo ; Pisani, Camilla |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 8, p. 1-15
|
| Subject: | Stochastic simulation | composition rules | Wishart processes | CIR model | matrix-valued Ornstein-Uhlenbeck processes | Simulation | Theorie | Theory | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010243628