Efficient simulation of a multi-factor stochastic volatility model.
Ahmet GöncüGiray ÖktenPublished in: J. Comput. Appl. Math. (2014)
Keyphrases
- management system
- computational model
- probabilistic model
- analytical model
- stochastic model
- mathematical model
- simulation model
- parameter estimation
- high level
- simulation environment
- agent model
- simulation study
- discrete event
- data sets
- hybrid model
- monte carlo simulation
- conceptual model
- theoretical framework
- em algorithm
- state space
- probability distribution
- cost function
- prior knowledge
- multi agent systems