Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method.
Andrei CozmaMatthieu MariapragassamChristoph ReisingerPublished in: SIAM J. Financial Math. (2019)
Keyphrases
- statistical model
- stochastic model
- prior knowledge
- mathematical model
- cost function
- prediction model
- objective function
- evaluation method
- optimization method
- parameter estimation
- bp neural network
- probabilistic model
- energy function
- sample average approximation
- control policy
- calibration method
- modeling method
- gaussian distribution
- theoretical analysis
- input data
- classification method
- monte carlo method
- stochastic programming
- em algorithm
- similarity measure
- linear regression
- linear model
- bayesian framework
- reconstruction method
- numerical methods
- autoregressive
- monte carlo
- stochastic control
- discrete event
- hybrid model
- dynamic programming
- jump diffusion process