Ornstein-Uhlenbeck Processes Simulation

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Kuzmina, A.;
(2012)
  • Publisher: Минск: БГУ
  • Subject: :ОБЩЕСТВЕННЫЕ НАУКИ::Информатика [ЭБ БГУ]

In this paper we give a brief introduction to Ornstein-Uhlenbeck processes and their simulation methods. Ornstein-Uhlenbeck processes were introduced by Barndorff-Nielsen and Shephard (2001) as a model to describe volatility in finance. Ornstein-Uhlenbeck ... View more
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