Diffusion Processes

Eckhard Platen () and David Heath ()
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Eckhard Platen: University of Technology
David Heath: Australian National University

Chapter 4 in A Benchmark Approach to Quantitative Finance, 2006, pp 133-162 from Springer

Abstract: Abstract In this chapter diffusion processes are introduced. These are potential candidates for the modeling of asset prices, interest rates and other financial quantities. We cover examples on geometric Brownian motion, Ornstein-Uhlenbeck and square root processes.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-47856-0_4

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DOI: 10.1007/978-3-540-47856-0_4

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