Stefano M Iacus: 2 books
by Stefano M. Iacus
Language: English
Release Date: February 23, 2011
Language: English
Release Date: February 23, 2011
Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous...
Simulation and Inference for Stochastic Processes with YUIMA
A Comprehensive R Framework for SDEs and Other Stochastic Processes
Language: English
Release Date: June 1, 2018
The YUIMA package is the first comprehensive R framework based on S4 classes and methods which allows for the simulation of stochastic differential equations driven by Wiener process, Lévy processes or fractional Brownian motion, as well as CARMA, COGARCH, and Point processes. The package performs...