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Real-time estimation scheme for the spot cross volatility of jump diffusion processes.

Shigeyoshi OgawaHoang-Long Ngo
Published in: Math. Comput. Simul. (2010)
Keyphrases
  • diffusion processes
  • diffusion process
  • information diffusion
  • denoising
  • partial differential equations
  • anisotropic diffusion
  • scale spaces
  • social networks
  • markov chain
  • multiresolution
  • stock market