Research Communication | Open Access
Volume 2019 | Communication ID 296
Volume 2019 | Communication ID 296
| Bayesian Analysis of Jump diffusion Stochastic Differential Equations in Finance. |
Halima Kadraoui, Abdelkrim Merbouha, Hamid Elmaroufy
Received |
Accepted |
Published |
Feb 14, 2019 |
Feb 26, 2019 |
Mar 01, 2019 |
Abstract: Financial stocks are often modeled as stochastic differential equations "SDE". These equations can describe the behavior of assets, and sometimes that of some model parameters. One of the characteristics of these equations is that the price of the action is a continuous function of time, but some rare events can lead to sudden price changes. To better model the risks associated with these sudden changes in market prices, we use the discontinuous trajectory processes, known as "jump processes". The purpose of this work is precisely the study of the “jump processes” in order to use a ...