Simulation de trajectoires de processus continus

Details Simulation de trajectoires de processus continus Simulation de trajectoires de processus continus

2010-01-12

arxiv.org/abs/1001.1909v1

Belgian Actuarial Bulletin 5, 1 (2005) 1...13

Economy

Quantitative Finance

Computational Finance

Scientific paper

Continuous time stochastic processes are useful models especially for financial and insurance purposes. The numerical simulation of such models is dependant of the time discrete discretization, of the parametric estimation and of the choice of a random number generator. The aim of this paper is to provide the tools for the practical implementation of diffusion processes simulation, particularly for insurance contexts.

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