Multifactor Approximation of Rough Volatility Models.

Eduardo Abi Jaber Omar El Euch

Published in: SIAM J. Financial Math. (2019)

Keyphrases

data sets
statistical models
experimental data
probability distribution
garch model
database
queueing networks
approximation algorithms
process model
complex systems
machine learning algorithms
parameter estimation
maximum likelihood
probabilistic model
long term
prior knowledge
search algorithm
multiscale