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The Fokker-Planck equation: methods of solution

The Fokker-Planck equation: methods of solution

The Fokker-Planck equation: methods of solution and applications by H. Risken

The Fokker-Planck equation: methods of solution and applications



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The Fokker-Planck equation: methods of solution and applications H. Risken ebook
ISBN: 0387130985, 9780387130989
Format: djvu
Page: 485
Publisher: Springer-Verlag


Asymptotic Methods for the Fokker-Planck Equation and the Exit. But now it's not stable: if r is between 0 .. Then, using a non-linear Fokker-Planck equation, one adds a SV component and for any given set of SV parameters computes a new "leveraged local volatility surface" that still matches the vanillas, while accommodating SV. Asymptotic Methods for the Fokker-Planck Equation and the Exit Problem in. Since r = 0 is a solution, the origin is still an equilibrium. September 23rd, 2012 reviewer Leave a comment Go to comments. The equations are more interesting for beta > 0 . This has two solutions, r = 0 and r = sqrt{beta} . The SLV Calibrator then applies to this PDE solution a Levenberg-Marquardt optimizer and finds the (time bucketed) SV parameters that yield a maximally flat leveraged local volatility surface. The Fokker-Planck equation: methods of solution and applications. Risken Publisher: Springer-Verlag. The Fokker-Planck equation: methods of solution and applications : PDF eBook Download.

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