Rough volatility via the Lamperti transform.

Sergio Bianchi Daniele Angelini Augusto Pianese Massimiliano Frezza

Published in: Commun. Nonlinear Sci. Numer. Simul. (2023)

Keyphrases

rough sets
real time
exchange rate
machine learning
image sequences
video sequences
stock market
stock price
genetic algorithm
image processing
financial markets
financial time series
rough fuzzy
original signal