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Bayesian Stochastic Differential Equation Modeling

by Muhannad Al-Saadony
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Current price ₹8,283.00
Original price ₹9,016.00
Original price ₹9,016.00
Original price ₹9,016.00
(-8%)
₹8,283.00
Current price ₹8,283.00

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Book cover type: Paperback
  • ISBN13: 9786209623882
  • Binding: Paperback
  • Subject: N/A
  • Publisher: LAP Lambert Academic Publishing
  • Publisher Imprint: LAP Lambert Academic Publishing
  • Publication Date:
  • Pages: 168
  • Original Price: USD 92.0
  • Language: English
  • Edition: N/A
  • Item Weight: 232 grams
  • BISAC Subject(s): General

We consider some popular stochastic differential equation models used in finance, such as the Vasicek Interest Rate model, the Heston model and a new fractional Heston model. We discuss how to perform inference about unknown quantities associated with these models in the Bayesian framework. We apply our methodology to simulated and real financial data with success. We then discuss how to make forecasts using both the Heston and the fractional Heston model. We make comparisons between the models and show that using our new fractional Heston model can lead to improve forecasts for real financial data.

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