金融领域的随机建模与基于软件R的Monte Carlo模拟(6):其他随机微分方程模型

Stochastic modelling in finance and Monte Carlo simulations with R Part 6:other SDEs models

主要研究金融领域中的多种数学模型,重点是利用R软件进行数值模拟.继续讨论更多的随机微分方程(SDE)模型,包括均值回归过程、均值回归的Ornstein-Uhlenbeck(OU)过程、平方根过程、CIR模型以及Θ过程.进一步,将对当前SDE数值解的研究给出更深入的建议.

The key aim of this serial is to study various stochastic models in finance with emphasis on the Monte Carlo simulations with R for these models.In this paper,we will discussmore SDE models,including the mean rever?ting process,the mean reverting Ornstein?Uhlenbeck process,the square root prosess,the CIR model andΘprocess. Moreover,we will make some further comments on the current study of the numerical solutionsof SDEs.