Calibration of a path-dependent volatility model: Empirical tests.

Paolo Foschi Andrea Pascucci

Published in: Comput. Stat. Data Anal. (2009)

Keyphrases

mathematical model
data sets
high level
objective function
formal model
probabilistic model
parameter estimation
hybrid model
network model
statistical model
em algorithm
theoretical framework
computational model
maximum likelihood
video sequences
bayesian networks
genetic algorithm