Search Results
| Search type | Search syntax |
|---|---|
| Tags | [tag] |
| Exact | "words here" |
| Author |
user:1234 user:me (yours) |
| Score |
score:3 (3+) score:0 (none) |
| Answers |
answers:3 (3+) answers:0 (none) isaccepted:yes hasaccepted:no inquestion:1234 |
| Views | views:250 |
| Code | code:"if (foo != bar)" |
| Sections |
title:apples body:"apples oranges" |
| URL | url:"*.example.com" |
| Saves | in:saves |
| Status |
closed:yes duplicate:no migrated:no wiki:no |
| Types |
is:question is:answer |
| Exclude |
-[tag] -apples |
| For more details on advanced search visit our help page | |
Results tagged with stochastic-calculus
Search options not deleted
user 54908
A branch of mathematics that operates on stochastic processes.
3
votes
1
answer
137
views
Justification for substituting "Itô differentials"
I'm reading Shreve's Stochastic Calculus for Finance, Volume II. In it, he uses the stochastic differential notation. For example, he may write
$$\mathrm{d}X(t) = \sigma(t)\mathrm{d}W(t)+\alpha(t)\mat …
- 437
2
votes
2
answers
229
views
Sampling change in the driving brownian motion of a CIR process
I have volatility driven by a CIR process:
$$\mathrm{d}v_t = \kappa (\bar{v}-v_t)\mathrm{d}t + \omega \sqrt{v_t}\mathrm{d}W_v\text{.}\tag{1}$$
I am working with several (complicated) approximations of …
- 437
9
votes
1
answer
780
views
Why were Laguerre polynomials a good choice of basis functions for American Monte Carlo?
I am implementing LSMC to price American options based on a custom model. I now need to make a choice of basis functions, so I am looking for the theoretical justification for using Laguerre polynomia …
- 437