Markov Chain Monte Carlo

DOI10.1007/978-3-540-71297-8_43zbMath1179.62040OpenAlexW1502464768MaRDI QIDQ3646990

Nicholas G. Polson, Michael S. Johannes

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_43

zbMATH Keywords

stochastic volatilitygeometric Brownian motionrandom walk Metropolishybrid chainsClifford-Hammersley theoremGibles sampling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

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