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Exact Simulation of the SABR Model

Operations Research, 2017
The stochastic alpha-beta-rho (SABR) model becomes popular in the financial industry because it is capable of providing good fits to various types of implied volatility curves observed in the marketplace. However, no analytical solution to the SABR model exists that can be simulated directly. This paper explores the possibility of exact simulation for
Yingda Song, Ning Cai
exaly   +3 more sources

Exact coalescent for the Wright–Fisher model

Theoretical Population Biology, 2006
The Kingman coalescent, which has become the foundation for a wide range of theoretical as well as empirical studies, was derived as an approximation of the Wright-Fisher (WF) model. The approximation heavily relies on the assumption that population size is large and sample size is much smaller than the population size.
Yun-Xin Fu
exaly   +4 more sources

Exact Geometry of Autoregressive Models [PDF]

open access: possibleJournal of Time Series Analysis, 1999
Exact expressions for the statistical curvature and related geometric quantities in first‐order autoregressive models are derived. We present a method for calculating moments that is applicable in general autoregressive models. It combines the algebra of differential and difference operators to simplify the problem, and to obtain results valid for all ...
openaire   +2 more sources

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