general Levy processes and simulation
Yes, the book only covers 1-dim sde driven by Wiener process. Not what Wei-Han Liu is looking for. I'm now involved in a bigger & new project (yet unreleased) which I presented at the (amazing) Rmetrics workshop. To see where we are heading you can have a look at the slides http://www.rmetrics.org/Meielisalp2009/Presentations/Iacus.pdf stefano
On 03/set/09, at 09:11, Wei-han Liu wrote:
Hi again: Thanks but I am afraid that the book you mention does not cover the specific topics I am working on. Iacus, Stefano M. 2008. Simulation and Inference for Stochastic Differential Equations With R Examples: Springer. The question again: Just curious if there are some resources in R for implementing general Levy processes and simulation, e.g. simulation with truncated Poisson point processes or symmetric stable processes? W. H. ----- Forwarded Message ---- From: "markleeds at verizon.net" <markleeds at verizon.net> To: weihanliu2002 at yahoo.com Sent: Thursday, September 3, 2009 9:58:32 AM Subject: Re: [R-SIG-Finance] general Levy processes and simulation Hi: you should check out stefano iacus's package and book, the names of which escape me. there's probably material in there related to below. the book is titled something like "simulation of a stochastic differential equations using R". It's a useR book. On Sep 2, 2009, Wei-han Liu <weihanliu2002 at yahoo.com> wrote: Hi there:
Just curious if there are some resources in R for implementing general Levy processes and simulation, e.g. simulation with truncated Poisson point processes or symmetric stable processes? Thanks in advance. Wei-han [[alternative HTML version deleted]]
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