Sökning: "Wiener chaos expansion"
Hittade 1 uppsats innehållade orden Wiener chaos expansion.
1. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. LÄS MER
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