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Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration.
Jean-Pierre Fouque
Matthew J. Lorig
Ronnie Sircar
Published in:
Finance Stochastics (2016)
Keyphrases
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multiscale
data analysis
statistical analysis
monte carlo
image processing
non stationary
image sequences
image analysis
long term
wavelet domain
learning automata