Displaying 3 results from an estimated 3 matches for "erak".
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era
2011 Jul 02
1
Simulating inhomogeneous Poisson process without loop
...ich is very
time-consuming for long simulations?
for (i in 1:N){
...
N <- rbinom(n=1, size=1, prob=(lambda0+lambda1*Vt))
Vt <- ... + J*N
..
}
P.S. This is going towards the Duffie, Pan, Singleton 2000 Transform Pricing
paper, here stochastic volatility with state-dependent correlated jumps
(Eraker 2004).
Thanks a lot in advance.
[[alternative HTML version deleted]]
2006 Nov 05
2
Generating a double-exponential jump diffusion process
Dear R Users,
Does anyone know of a package which can generate random realisations of
a double-exponential jump diffusion process with a drift ? Something
where I can specify the likelihoods of an up or a down jump, the drift
rate, and the mean size, and get back a vector of realisation of the
process (for purposes of a Monte-Carlo).
Kind regards,
Tolga
2008 Jun 06
3
Lattice: key does not accept German umlaute
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library(lattice)
## works as expected
xyplot(1~1, key = list(text = list(c("Maenner"))))
## works as expected
xyplot(1~1, key = list(text = list(c("Maenner"))), xlab = "M\344nner")
## gives an error
xyplot(1~1, key = list(text = list(c("M\344nner"))))
Is this a bug?
TIA,
Bernd
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