![Heston model / Normal distribution / Stochastic differential equation / Stochastic volatility / CIR process / Autoregressive conditional heteroskedasticity / Volatility / Martingale / Statistics / Stochastic processes / Mathematical finance Heston model / Normal distribution / Stochastic differential equation / Stochastic volatility / CIR process / Autoregressive conditional heteroskedasticity / Volatility / Martingale / Statistics / Stochastic processes / Mathematical finance](https://www.pdfsearch.io/img/83994185de468c4261c4ca0a3360324f.jpg) Date: 2011-07-26 17:11:37Heston model Normal distribution Stochastic differential equation Stochastic volatility CIR process Autoregressive conditional heteroskedasticity Volatility Martingale Statistics Stochastic processes Mathematical finance | | SIMULATION OF SQUARE-ROOT PROCESSES ¨ LEIF B.G. ANDERSEN, PETER JACKEL, AND CHRISTIAN KAHL Abstract. We discuss methods for time-discretization and simulation of squareroot SDEs, both in isolation (CIR process) and as Add to Reading ListSource URL: www.pjaeckel.webspace.virginmedia.comDownload Document from Source Website File Size: 190,25 KBShare Document on Facebook
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