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Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility.

Bernd HofmannRomy KrämerMatthias Richter
Published in: Int. J. Comput. Math. (2009)
Keyphrases
  • parameter identification
  • real time
  • signal processing
  • mathematical model
  • artificial intelligence
  • multiscale
  • model selection
  • input output
  • random fields
  • linear model
  • autoregressive