A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model.

Jean-Pierre Fouque Matthew J. Lorig

Published in: SIAM J. Financial Math. (2011)

Keyphrases

computational model
mathematical model
neural network
information retrieval
prior knowledge
probability distribution
statistical model
hybrid model
reinforcement learning
control system
long term
probabilistic model
em algorithm
bayesian framework
prediction model
stochastic model