A bootstrapping market implied moment matching calibration for models with time-dependent parameters.
Florence GuillaumeWim SchoutensPublished in: J. Comput. Appl. Math. (2014)
Keyphrases
- probabilistic model
- parameter estimation
- parametric models
- maximum likelihood
- model selection
- experimental data
- sensitivity analysis
- bayesian framework
- analytical models
- decision making
- parameter estimates
- free parameters
- affine invariant
- shape matching
- statistical models
- expectation maximization
- multi view
- information extraction