# FxPaul

Math in finance or vice versa

## Exponential Ornstein-Uhlenbeck process

Let’s consider parameter estimation for the following modification of Ornstein-Uhlenbeck process:
$dS_t = \theta(\mu - S_t) dt + \sigma dW_t$
$P_t= \exp S_t$
This model is simplification of Schwarz Model 1, one of Short-rate models
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