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Double exponential - PowerPoint PPT Presentation

A Summary of Random Variable Simulation

A Summary of Random Variable Simulation. Ideas for Today and Tomorrow. Uniform. X is uniformly distributed on the interval [a,b]. We write X~unif(a,b). Uses. the basis for generating all random variables.

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300 views • 29 slides

Stochastic volatility as the fluctuating rate of trading: Comparison with the Heston model

Stochastic volatility as the fluctuating rate of trading: Comparison with the Heston model. Victor M. Yakovenko. Department of Physics, University of Maryland, College Park, USA http://www2.physics.umd.edu/~yakovenk/econophysics.html. Publications.

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447 views • 26 slides

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Double exponential - PowerPoint PPT Presentation

A Summary of Random Variable Simulation

Stochastic volatility as the fluctuating rate of trading: Comparison with the Heston model