- stochastic process risk
- Биржевой термин: риск стохастичности
Универсальный англо-русский словарь. Академик.ру. 2011.
stochastic process risk
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Stochastic process — A stochastic process, or sometimes random process, is the counterpart to a deterministic process (or deterministic system) in probability theory. Instead of dealing with only one possible reality of how the process might evolve under time (as is… … Wikipedia
Stochastic volatility — models are used in the field of quantitative finance to evaluate derivative securities, such as options. The name derives from the models treatment of the underlying security s volatility as a random process, governed by state variables such as… … Wikipedia
Stochastic control — is a subfield of control theory which deals with the existence of uncertainty in the data. The designer assumes, in a Bayesian probability driven fashion, that a random noise with known probability distribution affects the state evolution and the … Wikipedia
stochastic — A term used to describe outcomes based on uncertain relationships. The process of change in a variable resulting from change in a parameter. For example, option adjusted spread measures of yield and Monte Carlo models of interest rate risk are… … Financial and business terms
Ornstein–Uhlenbeck process — Not to be confused with Ornstein–Uhlenbeck operator. In mathematics, the Ornstein–Uhlenbeck process (named after Leonard Ornstein and George Eugene Uhlenbeck), is a stochastic process that, roughly speaking, describes the velocity of a massive… … Wikipedia
Cox process — A Cox process (named after the statistician Sir David Cox), also known as a doubly stochastic Poisson process or mixed Poisson process, is a stochastic process which is a generalization of a Poisson process. In the case of Cox processes, the time … Wikipedia
Consistent pricing process — A consistent pricing process (CPP) is any representation of (frictionless) prices of assets in a market. It is a stochastic process in a filtered probability space such that at time t the ith component can be thought of as a price for the ith… … Wikipedia
Риск стохастичности — (STOCHASTIC PROCESS RISK) риск того, что кривая доходности сместится таким образом, что иммунизированный портфель облигаций не обеспечит ожидаемого дохода … Финансовый глоссарий
probability theory — Math., Statistics. the theory of analyzing and making statements concerning the probability of the occurrence of uncertain events. Cf. probability (def. 4). [1830 40] * * * Branch of mathematics that deals with analysis of random events.… … Universalium
Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European … Wikipedia
Mathematical finance — is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will… … Wikipedia
