[R-SIG-Finance] Fw: general Levy processes and simulation

[stefano iacus]

Yes, the book only covers 1-dim sde driven by Wiener process. Not what  
Wei-Han Liu is looking for.

I'm now involved in a bigger & new project (yet unreleased) which I  
presented at the (amazing) Rmetrics workshop. To see where we are  
heading you can have a look at the slides

http://www.rmetrics.org/Meielisalp2009/Presentations/Iacus.pdf

stefano


On 03/set/09, at 09:11, Wei-han Liu wrote:

> Hi again:
>
>
> Thanks but I am afraid that the book you mention does not cover the  
> specific topics I am working on.
> Iacus, Stefano M. 2008. Simulation and Inference for Stochastic  
> Differential Equations With R Examples: Springer.
>
> The question again:
> Just curious if there are some resources in R for implementing  
> general Levy processes and simulation, e.g. simulation with  
> truncated Poisson point processes or symmetric stable processes?
>
> W. H.
>
>
> ----- Forwarded Message ----
> From: "markleeds at verizon.net" <markleeds at verizon.net>
> To: weihanliu2002 at yahoo.com
> Sent: Thursday, September 3, 2009 9:58:32 AM
> Subject: Re: [R-SIG-Finance] general Levy processes and simulation
>
> Hi: you should check out stefano iacus's package and book, the names  
> of which escape me. there's probably material in there related to  
> below. the book is titled something like "simulation of a stochastic  
> differential equations using R". It's  a useR book.
>
>
>
>
>
>
>
>
>
> On Sep 2, 2009, Wei-han Liu <weihanliu2002 at yahoo.com> wrote:
> Hi there:
>>
>>
>> Just curious if there are some resources in R for implementing  
>> general Levy processes and simulation, e.g. simulation with  
>> truncated Poisson point processes or symmetric stable processes?
>>
>> Thanks in advance.
>>
>> Wei-han
>>
>>
>>
>> [[alternative HTML version deleted]]
>>
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