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The Jacobi stochastic volatility model.
Damien Ackerer
Damir Filipovic
Sergio Pulido
Published in:
Finance Stochastics (2018)
Keyphrases
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multiscale
probabilistic model
statistical model
stochastic process
formal model
stochastic model
genetic algorithm
high level
feature extraction
prior knowledge
probability distribution
theoretical analysis
computational model
mathematical model
high order
stochastic models