Modeling and implementation of local volatility surfaces in Bayesian framework.

Abdulwahab Animoku Ömür Ugur Yeliz Yolcu-Okur

Published in: Comput. Manag. Sci. (2018)

Keyphrases

bayesian framework
prior knowledge
generative model
posterior probability
bayesian formulation
hyperparameters
three dimensional
gaussian process
prior distribution
bayesian model
expectation maximization
maximum a posteriori
probability density function
bayesian methods
posterior distribution
data sets