• Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Bayesian Stochastic Differential Equation Modeling

Bayesian Stochastic Differential Equation Modeling

Paperback

General Mathematics

ISBN10: 3659785342
ISBN13: 9783659785344
Publisher: Lap Lambert Academic Pub
Published: Oct 2 2015
Pages: 168
Weight: 0.56
Height: 0.39 Width: 6.00 Depth: 9.00
Language: English
We consider some popular stochastic differential equation models used in finance, such as the Vasicek Interest Rate model, the Heston model and a new fractional Heston model. We discuss how to perform inference about unknown quantities associated with these models in the Bayesian framework. We apply our methodology to simulated and real financial data with success. We then discuss how to make forecasts using both the Heston and the fractional Heston model. We make comparisons between the models and show that using our new fractional Heston model can lead to improve forecasts for real financial data.

Also in

General Mathematics