Markov Chain Monte Carlo

DOI10.1007/978-3-540-71297-8_43MaRDI QIDQ3646990zbMATH OpenOpenAlexFDO

Authors Michael Johannes, Nicholas G. Polson

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

Clifford-Hammersley theoremgeometric Brownian motionGibles samplinghybrid chainsrandom walk Metropolisstochastic volatility

Mathematics Subject Classification ID

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

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