'Stochastic process' presentation slideshows

1.33k views • 105 slides

Financial Engineering

Financial Engineering. Zvi Wiener mswiener@mscc.huji.ac.il tel: 02-588-3049. W - Wiener Process = Brownian Motion dW ~ N(0, dt) (dW(t)) 2 = dt (dW(t)) dt = 0 dt 2 = 0. W - Wiener Process = Brownian Motion dW ~ N(0, dt). dX = ?dt + ?dW Arithmetical BM

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Option Pricing and Dynamic Modeling of Stock Prices

Option Pricing and Dynamic Modeling of Stock Prices. Investments 2003. Motivation. We must learn some basic skills and set up a general framework which can be used for option pricing. The ideas will be used for the remainder of the course. Important not to be lost in the beginning.

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SAC 306 PROJECT REPORT.

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S tochastic processes

S tochastic processes . Lecture 7 Linear time invariant systems. Random process. 1 st order Distribution & density function. First-order distribution First-order density function. 2 end order Distribution & density function. 2 end order distribution 2 end order density function.

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Horus: A WLAN-Based Indoor Location Determination System

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G12: Management Science

G12: Management Science. Markov Chains. Outline. Classification of stochastic processes Markov processes and Markov chains Transition probabilities Transition networks and classes of states First passage time probabilities and expected first passage time

677 views • 53 slides

HW 4

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Time Series Econometrics: Some Basic Concepts

Time Series Econometrics: Some Basic Concepts. Course Incharge : Prof. Dr. Himayatullah Khan. Reference : Gujarati, Chapters 21. Time Series Data. One of the important and frequent types of data used in empirical analysis.

3.88k views • 42 slides

AQM & TCP models

AQM & TCP models. Courtesy of Sally Floyd with ICIR Raj Jain with OSU. Agenda. Queue management Passive Active AQM: RED Variants ECN TCP models. the majority in router. Passive queue management (PQM) No preventive packet drop Buffer level > threshold, drop packets

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Copulas from Fokker-Planck equation

Copulas from Fokker-Planck equation. Hi Jun Choe. Dept of Math Yonsei University Seoul, Korea. Financial Crisis in 2007. Wired Magazine 02.23.09 Recipe for Disaster:The Formula That Killed Wall Street by S. Salmon. Gaussian Copula by Davis X. Li.

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Exponential distribution and the Poisson process

Exponential distribution and the Poisson process. Many useful applications, especially in queueing systems, inventory management, and reliability analysis. A connection between discrete time Markov chains and continuous time Markov chains. The exponential distribution.

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Economics 310

Economics 310. Lecture 24 Univariate Time Series. Concepts to be Discussed. Time Series Stationarity Spurious regression Trends. Plot of Economic Levels Data. Plot of Rate Data. Stationary Stochastic Process. Stochastic Random Process Realization

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Autoregressive Integrated Moving Average (ARIMA)

Autoregressive Integrated Moving Average (ARIMA) . P opularly known as the Box-Jenkins methodology.

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A Left-to- Right HDP - HMM with HDPM Emissions

A Left-to- Right HDP - HMM with HDPM Emissions. Amir Harati , Joseph Picone and Marc Sobel Institute for Signal and Information Processing Temple University Philadelphia, Pennsylvania, USA. Abstract.

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A REAL OPTIONS MODEL fOR Electricity CAPACITY expansion

A REAL OPTIONS MODEL fOR Electricity CAPACITY expansion. Christos Nakos , NTUA, Postgraduate Student Optimal Management of the Dynamic Systems of the Economy and the environment THALES RESEARCH WORKSHOP. This presentation mainly follows the developments produced in :

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Modeling uncertainty propagation in deformation processes

Modeling uncertainty propagation in deformation processes. Babak Kouchmeshky Nicholas Zabaras. Materials Process Design and Control Laboratory Sibley School of Mechanical and Aerospace Engineering 101 Frank H. T. Rhodes Hall Cornell University Ithaca, NY 14853-3801

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Chapter 11

Chapter 11. Arbitrage Pricing Theory. Arbitrage Pricing Theory. Developed by Ross (1976,1977) Has three major assumption : Capital markets are perfectly competitive Investors always prefer more wealth to less wealth with certainty

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Stochastic description of gene regulatory mechanisms

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Commentary on Time Series in High Energy Astrophysics

Commentary on Time Series in High Energy Astrophysics. Brandon C. Kelly Harvard-Smithsonian Center for Astrophysics. Trends. Lightcurve shape determined by time and parameters Examples: SNe , ? -ray bursts Can use parameteric methods to characterize shape

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