Информационная система "Конференции"

Abstracts

Stochastic simulation and Monte-Carlo methods

The mathematical model of share's price as Ito's Stochastic Differential Equation with breaches is investigated. The problem of various probabilistic characteristics correspondence of historical and model share prices is considered. The mathematical model parameter estimation by Kalman's filter is discussed. The new model is used for exchange trade imitation and development of computer-based commercial program.

Note. Abstracts are published in author's edition

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