View Full Version : Help with Stochastic Modelling

May 12th 2005, 08:19 AM
I am considering the replication of publicly available stochastic investment models but using a different country’s data on the models. I have read through most available literature (Wilkie, Smith, Whitten&Thomas etc) on the topic of stochastic investment modelling but none explain in detail how to go about constructing such a model. This leads to the following questions: How do you begin to replicate a stochastic investment model? I need advice as what to do first. Should I first analyse my data to determine parameters? What will be the best way to determine the parameters? Do I then substitute the parameters in to the equations? How do I simulate into the future? Can someone please provide me with any help or step by step guidance? It will be greatly appreciated