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Please use this identifier to cite or link to this item: http://hdl.handle.net/10277/514

Authors: Hajek, Stefano
Internal Tutor: SERRA CAPIZZANO, STEFANO
DONATELLI, MARCO
Title: Extreme value stochastic processes: Vasicek model revised.
Abstract: missing
Keywords: Extreme value theory, Vasicek model, stochastic processes, quantitative finance, interest rates, bayesian, stochastic integral, stochastic differential equation (SDE), Ito, Montecarlo method.
Subject MIUR : MAT/06 PROBABILITÀ E STATISTICA MATEMATICA
Issue Date: 2013
Language: eng
Doctoral course: Matematica del Calcolo: Modelli, Strutture, Algoritmi e Applicazioni 
Academic cycle: 23
Publisher: Università degli Studi dell'Insubria
Citation: Hajek, S.Extreme value stochastic processes: Vasicek model revised. (Doctoral Thesis, Università degli Studi dell'Insubria, 2013).

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