Campuses:

CTMC

Friday, June 15, 2018 - 9:30am - 10:00am
Duy Nguyen (Marist College)
In this talk, we consider the efficient simulation of asset prices for general stochastic local
volatility models, which include the Heston stochastic volatility model and the stochastic alpha
beta rho (SABR) model as special cases. Our simulation algorithm is constructed based on a novel
application of a continuous-time Markov chain (CTMC) approximation to the latent stochastic
variance process. Compared with traditional time discretization approaches, our method exhibits
Wednesday, June 6, 2018 - 9:00am - 9:50am
H.T. Banks (North Carolina State University)
We report on a major effort on model comparison for stochastic model comparison. In a series of efforts, we considered model comparison techniques for three different classes of stochastic models: continuous time Markov chains (CTMC), stochastic differential equations (SDE), and random differential equations (RDE). For nested models, we extended the statistically-based ideas and techniques developed earlier by Banks and Fitzpatrick for deterministic differential equation models to these three types of stochastic systems.
Subscribe to RSS - CTMC