CU Boulder News & Events

A Nonlinear Dynamical Systems-Based Modeling Approach for Stochastic Simulation of Streamflow and Understanding Predictability

1 Civil, Environmental and Architectural Engineering, University of Colorado Boulder, Boulder, CO, USA, 2 Cooperative Institute for Research in Environmental Sciences (CIRES), University of Colorado ...
Risk

Risk analysis probability of default: a stochastic simulation model

We present a stochastic simulation model for estimating forward-looking corporate probability of default and loss given default. We formulate the model in a discrete time frame, apply ...
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Simulation and Inference for Stochastic Volatility Models Driven by Lévy Processes

We study Ornstein-Uhlenbeck stochastic processes driven by Lévy processes, and extend them to more general non-Ornstein-Uhlenbeck models. In particular, we investigate the means of making the ...
JSTOR Daily

Alternative Specifications of the Error Process in the Stochastic Simulation of Econometric Models

This is a preview. Log in through your library . Abstract This paper analyses the stochastic simulation of econometric models using three different methods for ...
Risk

Fast and accurate long-stepping simulation of the Heston stochastic volatility model

In this paper, we present three new discretization schemes for the Heston stochastic volatility model: two schemes for simulating the variance process and one for simulating the integrated variance ...