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stochastic derivative

См. также в других словарях:

  • 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

  • Derivative (generalizations) — Derivative is a fundamental construction of differential calculus and admits many possible generalizations within the fields of mathematical analysis, combinatorics, algebra, and geometry. Derivatives in analysis In real, complex, and functional… …   Wikipedia

  • Stochastic approximation — methods are a family of iterative stochastic optimization algorithms that attempt to find zeroes or extrema of functions which cannot be computed directly, but only estimated via noisy observations. The first, and prototypical, algorithms of this …   Wikipedia

  • Stochastic differential equation — A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, thus resulting in a solution which is itself a stochastic process. SDE are used to model diverse phenomena such as… …   Wikipedia

  • Derivative (finance) — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond …   Wikipedia

  • Generalizations of the derivative — The derivative is a fundamental construction of differential calculus and admits many possible generalizations within the fields of mathematical analysis, combinatorics, algebra, and geometry. Contents 1 Derivatives in analysis 1.1 Multivariable… …   Wikipedia

  • Infinitesimal generator (stochastic processes) — In mathematics mdash; specifically, in stochastic analysis mdash; the infinitesimal generator of a stochastic process is a partial differential operator that encodes a great deal of information about the process. The generator is used in… …   Wikipedia

  • Malliavin derivative — In mathematics, the Malliavin derivative is a notion of derivative in the Malliavin calculus. Intuitively, it is the notion of derivative appropriate to paths in classical Wiener space, which are usually not differentiable in the usual… …   Wikipedia

  • Itō calculus — Itō calculus, named after Kiyoshi Itō, extends the methods of calculus to stochastic processes such as Brownian motion (Wiener process). It has important applications in mathematical finance and stochastic differential equations.The central… …   Wikipedia

  • CMA-ES — stands for Covariance Matrix Adaptation Evolution Strategy. Evolution strategies (ES) are stochastic, derivative free methods for numerical optimization of non linear or non convex continuous optimization problems. They belong to the class of… …   Wikipedia

  • Monte Carlo methods in finance — Monte Carlo methods are used in finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value, and then determining their average… …   Wikipedia

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