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Analytically Tractable Stochastic Stock Price Models - Springer Finance Archil Gulisashvili 2012 edition
Analytically Tractable Stochastic Stock Price Models - Springer Finance
Archil Gulisashvili
For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility.
380 pages, biography
| Mediji | Grāmatas Hardcover Book (Grāmata ar cieto muguriņu un vāku) |
| Izlaists | 2012. gada 5. septembris |
| ISBN13 | 9783642312137 |
| Izdevēji | Springer-Verlag Berlin and Heidelberg Gm |
| Lapas | 362 |
| Izmēri | 240 × 162 × 25 mm · 702 g |
| Valoda | Vācu |