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Numerical simulation of the mean-reverting square root process with applications to option valuation

Presented by: 
X Mao [Strathclyde]
Date: 
Wednesday 16th February 2005 - 10:00 to 11:00
Venue: 
INI Seminar Room 2
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons