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612-822-4611
Bayesian Stochastic Differential Equation Modeling

Bayesian Stochastic Differential Equation Modeling

Paperback

General Mathematics

ISBN10: 6209623883
ISBN13: 9786209623882
Publisher: LAP Lambert Academic Publishing
Published: Feb 26 2026
Pages: 168
Weight: 0.51
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.

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General Mathematics