图 书 馆
引入金融建模的列维过程导论An introduction to Levy processes with financial modelling in mind |
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| 课程网址: | http://videolectures.net/aispds08_winkel_ailp/ |
| 主讲教师: | Matthias Winkel |
| 开课单位: | 牛津大学 |
| 开课时间: | 2008-08-05 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | In this talk I will take some care to introduce the general class of Levy processes as well as the most relevant parametric families. I will explain how these can be used for modelling purposes, directly or as driving processes for more general stochastic processes. As an application, I'll discuss stochastic volatility modelling and some questions arising when doing inference in the presence of jumps, based on joint work with Ole Barndorff-Nielsen and Neil Shephard. |
| 关 键 词: | 金融建模; 过程导论; 随机波动模型 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2019-10-31：lxf |
| 阅读次数: | 47 |