An adjoint method for the exact calibration of stochastic local volatility models.
Maarten WynsKarel J. in 't HoutPublished in: J. Comput. Sci. (2018)
Keyphrases
- high accuracy
- linear model
- prior knowledge
- preprocessing
- clustering method
- probabilistic model
- detection method
- similarity measure
- significant improvement
- support vector machine svm
- segmentation method
- machine learning methods
- modeling method
- monte carlo simulation
- statistical model
- support vector machine
- objective function