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1. Parameter Estimation of the Pareto-Beta Jump-Diffusion Model in Times of Catastrophe Crisis
Magister-uppsats, Tillämpad matematik och fysik (CAMP)Sammanfattning : Jump diffusion models are being used more and more often in financial applications. Consisting of a Brownian motion (with drift) and a jump component, such models have a number of parameters that have to be set at some level. Maximum Likelihood Estimation (MLE) turns out to be suitable for this task, however it is computationally demanding. LÄS MER
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