The software for statistical modeling and analysis of random processes with jumps, which describe the stock price dynamics of aircraft industry

Economics and management


Kozhevnikov A. S.

Moscow Aviation Institute (National Research University), 4, Volokolamskoe shosse, Moscow, А-80, GSP-3, 125993, Russia



We consider models which describe stock price evolution of aircraft industry. The problem of finding the probability characteristics of these stock prices is studied in this paper. The universal algorithm based on the use of Monte Carlo method is developed for statistical modeling of the stock prices. The software based on the developed algorithm is described and allows to set the parameters of the models, to simulate the paths of random processes and to calculate the statistical estimates of the probability density, expectation and variance, to plot these characteristics.


stock of aircraft industry; Bates model; Merton model; Monte Carlo method; simulation; stochastic system; software; jump-diffusion process

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