The Jacobi stochastic volatility model.

Damien Ackerer Damir Filipovic Sergio Pulido

Published in: Finance Stochastics (2018)

Keyphrases

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