Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility.
Martino BardiAnnalisa CesaroniLuigi MancaPublished in: SIAM J. Financial Math. (2010)
Keyphrases
- multiscale
- machine learning methods
- probabilistic model
- statistical models
- significant improvement
- mathematical models
- computational cost
- machine learning algorithms
- benchmark datasets
- image processing
- model selection
- statistical methods
- classification models
- predictive power
- stochastic models
- quasi newton
- linear gaussian