摘要翻译:
连续时间随机过程是非常有用的模型,特别是在金融和保险方面。这类模型的数值模拟依赖于时间离散化、参数估计和随机数发生器的选择。本文的目的是为扩散过程模拟的实际实现提供工具,特别是在保险背景下。
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英文标题:
《Simulation de trajectoires de processus continus》
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作者:
Fr\'ed\'eric Planchet (SAF), Pierre-Emanuel Th\'erond (SAF)
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最新提交年份:
2010
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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英文摘要:
Continuous time stochastic processes are useful models especially for financial and insurance purposes. The numerical simulation of such models is dependant of the time discrete discretization, of the parametric estimation and of the choice of a random number generator. The aim of this paper is to provide the tools for the practical implementation of diffusion processes simulation, particularly for insurance contexts.
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PDF链接:
https://arxiv.org/pdf/1001.1909