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random volatility with drift

См. также в других словарях:

  • Random walk hypothesis — The random walk hypothesis is a financial theory stating that stock market prices evolve according to a random walk and thus the prices of the stock market cannot be predicted. It has been described as jibing with the efficient market hypothesis …   Wikipedia

  • Genetic drift — ] Especially in small populations, the statistical effect of sampling error ( during reproduction ) on certain alleles from the overall population may result in an allele ( and the biological traits that it confers ) becoming more common or rare… …   Wikipedia

  • Stochastic volatility — models are used in the field of quantitative finance to evaluate derivative securities, such as options. The name derives from the models treatment of the underlying security s volatility as a random process, governed by state variables such as… …   Wikipedia

  • Heston model — In finance, the Heston model is a mathematical model describing the evolution of the volatility of an underlying asset. It is a stochastic volatility model: such a model assumes that the volatility of the asset is not constant, nor even… …   Wikipedia

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  • List of statistics topics — Please add any Wikipedia articles related to statistics that are not already on this list.The Related changes link in the margin of this page (below search) leads to a list of the most recent changes to the articles listed below. To see the most… …   Wikipedia

  • Geometric Brownian motion — A geometric Brownian motion (GBM) (occasionally, exponential Brownian motion) is a continuous time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion, or a Wiener process. It is applicable to… …   Wikipedia

  • Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European …   Wikipedia

  • Ornstein–Uhlenbeck process — Not to be confused with Ornstein–Uhlenbeck operator. In mathematics, the Ornstein–Uhlenbeck process (named after Leonard Ornstein and George Eugene Uhlenbeck), is a stochastic process that, roughly speaking, describes the velocity of a massive… …   Wikipedia

  • Business and Industry Review — ▪ 1999 Introduction Overview        Annual Average Rates of Growth of Manufacturing Output, 1980 97, Table Pattern of Output, 1994 97, Table Index Numbers of Production, Employment, and Productivity in Manufacturing Industries, Table (For Annual… …   Universalium

  • Index fund — An index fund or index tracker is a collective investment scheme (usually a mutual fund or exchange traded fund) that aims to replicate the movements of an index of a specific financial market, or a set of rules of ownership that are held… …   Wikipedia

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