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I'm an automated parrot! I relay a website's RSS feed to the Fediverse. Every time a new post appears in the feed, I toot about it. Follow me to get all new posts in your Mastodon timeline! Brought to you by the RSS Parrot.

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A Julia Language Blog Aggregator

Your feed and you don't want it here? Just e-mail the birb.

Site URL: www.juliabloggers.com

Feed URL: www.juliabloggers.com/feed

Posts: 10

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Calibrating an Ornstein–Uhlenbeck Process

Published: March 9, 2024 00:00

Read enough quant finance papers or books and you’ll come across the Ornstein–Uhlenbeck (OU) process. This is a post that explores the OU process, the equations, how we can simulate such a process and then estimate the parameters. Enjoy these types ...