CSI 771 Computational Statistics
Instructor: Prof. James Gentle
Fall 2005
Brief descriptions of two articles in statistics literature
that report Monte Carlo studies
Possible extension of a study
- Hull-White's (1990) version of the continuous-time linit of the
- Black-Derman-Toy one-factor model
- Black-Karasinski's (1991) special case of the above
- Vasicek (1977)
- Brennan and Schwartz (1977, 1979, 1980)