Computational methods for various stochastic differential equation models in finance
This study develops efficient numerical methods for solving jumpdiffusion stochastic delay differential equations and stochastic differential equations with fractional order. In addition, two novel algorithms are developed for the estimation of parameters in the stochastic models. One of the algorit...
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| Format: | Thesis |
| Language: | English |
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Curtin University
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/247 |