Bayesian Inference on Discretely Sampled Itô Processes

• Autorzy: Maciej Kostrzewski
• Języki publikacji: EN

Abstrakty

EN

Chapter 5 presents an application of Bayesian inference of Itô processes in pricing derivatives. The chapter includes the Markov Chain Monte Carlo (MCMC) methodology in numerical exercises. (fragment of text)

Słowa kluczowe

EN

Bayesian econometric; Stochastic processes; Derivatives pricing; Monte Carlo method

PL

Ekonometria bayesowska; Procesy stochastyczne; Wycena instrumentów pochodnych; Metoda Monte Carlo

• Czasopismo: FindEcon Monograph Series : advances in financial market analysis
• Rocznik: 2006
• Numer: nr 2 Financial markets : principles of modeling forecasting and decision-making
• Strony: 81--96

Twórcy

autor

Maciej Kostrzewski

• AGH University of Science and Technology Kraków, Poland

Bibliografia

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