Publication: First passage time for multivariate jump-diffusion stochastic models with applications in finance

All || By Area || By Year

Title	First passage time for multivariate jump-diffusion stochastic models with applications in finance
Authors/Editors*	Di Zhang, Roderick Melnik
Where published*	Dynamics of Continuous, Discrete & Impulsive Systems. Series A: Mathematical Analysis
How published*	Journal
Year*	2007
Volume	14
Number	S2
Pages	128-133
Publisher	Elsevier
Keywords	Stochastic processes, risk analysis, first passage time
Link
Abstract	In this paper we develop a Monte-Carlo-based methodology for the solution of the first passage time (FTP) problem in the context of a multivariate and correlated jump-diffusion stochastic process.

Go to Modelling dynamics of coupled systems for nanotechnology, biological and stochastic applications
Back to page 71 of list