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Dean Markwick
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Calibrating an Ornstein–Uhlenbeck Process | Dean Markwick
https://dm13450.github.io/2024/03/09/Calibrating-an-Ornstein-Uhlenbeck-Process.html
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Read enough quant finance papers or books and you’ll come across the Ornstein–Uhlenbeck (OU) process. This is a post that explores the OU process, the equations, how we can simulate such a process and then estimate the parameters.
