Abstract
In this chapter diffusion processes are introduced. These are potential candidates for the modeling of asset prices, interest rates and other financial quantities. We cover examples on geometric Brownian motion, Ornstein-Uhlenbeck and square root processes.
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© 2006 Springer-Verlag Berlin Heidelberg
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Platen, E., Heath, D. (2006). Diffusion Processes. In: A Benchmark Approach to Quantitative Finance. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-47856-0_4
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DOI: https://doi.org/10.1007/978-3-540-47856-0_4
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-26212-1
Online ISBN: 978-3-540-47856-0
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