An extension of Heston's SV model to stochastic interest rates.

Javier de Frutos Víctor Gatón

Published in: J. Comput. Appl. Math. (2019)

Keyphrases

high level
computational model
stochastic model
sensitivity analysis
statistical model
data sets
probabilistic model
input data
theoretical analysis
parameter estimation
stochastic process
hierarchical structure
experimental data
monte carlo
prior knowledge
artificial neural networks
knowledge base