Assignment Task:

1. On the MyLearning page, there is a data file for use in this question. Load the data into R using the command: 

data <- read.csv(”path to file”) 

This loads the data as a ‘data-frame’ called data, which consists of two variables: 

• data$time - the time 

• data$value - the value of a variable at this time. 

(a) Find an appropriate model for the value data, either: 

• a Wiener Process with drift plus a constant term (i.e. σWt + μt + c), or 

• Geometric Brownian Motion. Justify your choice of model, making any assumptions clear, using appropriate graphs. Estimate the parameters for your model. 

(b) Using your model, write R code to generate 5 more realisations of the same process over the time interval  [0,4].

 

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  • Uploaded By : Alex Cerry
  • Posted on : April 15th, 2019

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