An investigation of model risk in a market with jumps and stochastic volatility.

Guillaume Coqueret Bertrand Tavin

Published in: Eur. J. Oper. Res. (2016)

Keyphrases

computational model
experimental data
statistical model
stock market
hybrid model
stochastic programming
high level
probabilistic model
probability distribution
management system
markov random field
parameter estimation
mathematical model
stock price
portfolio optimization