Model calibration for financial assets with mean-reverting price processes

Model calibration for financial assets with mean-reverting price processes

Master's

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Bibliographic Details
Main Author: CHEN DIHUA
Other Authors: MATHEMATICS
Format: Theses and Dissertations
Language:English
Published: 2010
Subjects:
Model calibration, Mean-reverting process, Inverse problem, Optimal control, Distribution correction, Weighted Monte-Carlo simulation.
Online Access:http://scholarbank.nus.edu.sg/handle/10635/15686
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http://scholarbank.nus.edu.sg/handle/10635/15686

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