Search Results - subject:"squared Bessel process"

Unit root tests considering initial values and a concise method for computing powers

Hitomi, Kohtaro; Jin, Jianwei; Nagai, Keiji; Nishiyama, … - 2022

Persistent link: https://www.econbiz.de/10014284744

Fast maximum likelihood estimation of parameters for square root and Bessel processes

Fergusson, Kevin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 4, pp. 143-170

Persistent link: https://www.econbiz.de/10012657679

On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes

Hefter, Mario; Jentzen, Arnulf - In: Finance and stochastics 23 (2019) 1, pp. 139-172

Persistent link: https://www.econbiz.de/10012023704

Bessel bridges decomposition with varying dimension. Applications to finance.

Faraud, Gabriel; Goutte, Stéphane - HAL - 2012

associated to this generalized squared Bessel process, much similar to the much celebrated result of J. Pitman and M. Yor. On a …

Persistent link: https://www.econbiz.de/10010547615

Explicit formulae for parameters of stochastic models of a discounted equity index using maximum likelihood estimation with applications

Fergusson, K. - In: Annals of financial economics 12 (2017) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10011716156

M6 - On Minimal Market Models and Minimal Martingale Measures

Hulley, Hardy; Schweizer, Martin - Finance Discipline Group, Business School - 2010

squared Bessel process of dimension 4. This directly gives a very specific probabilistic structure for minimal market models. …

Persistent link: https://www.econbiz.de/10008455629

Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes

Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2009

Accurate scenario simulation methods for solutions of multi-dimensional stochastic differential equations find application in stochastic analysis, the statistics of stochastic processes and many other areas, for instance, in finance. They have been playing a crucial role as standard models in...

Persistent link: https://www.econbiz.de/10008506967

Exact scenario simulation for selected multi-dimensional stochastic processes

Platen, Eckhard; Rendek, Renata - 2009

Persistent link: https://www.econbiz.de/10008662360