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Alternative Time Scales and Failure Time Models

✍ Scribed by Thierry Duchesne; Jerry Lawless


Book ID
110277167
Publisher
Springer
Year
2000
Tongue
English
Weight
179 KB
Volume
6
Category
Article
ISSN
1380-7870

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Multiple time scales and the empirical m
✍ G.L. Buchbinder; K.M. Chistilin πŸ“‚ Article πŸ“… 2007 πŸ› Elsevier Science 🌐 English βš– 328 KB

The most common stochastic volatility models such as the Ornstein-Uhlenbeck (OU), the Heston, the exponential OU (ExpOU) and Hull-White models define volatility as a Markovian process. In this work we check the applicability of the Markovian approximation at separate times scales and will try to ans