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Deep calibration of the quadratic rough Heston model
Rough vol models are calibrated and fitted to SPX and Vix smiles
Abi jaber el
Abi jaber
Monte carlo
Mathieu rosenbaum
Jianfei zhang
Gatheral jacquier
Jaber el
Rough volatility
Eston process
Ulti factor model
Model calibration
Implied volatility
Volatility smile
Deep learning
Cutting edge
Automatic differentiation for diffusion operator integral variance reduction - Journal of Computational Finance
This paper demonstrates applications of automatic differentiation with nested dual numbers in the diffusion operator integral variance-reduction framework
Monte carlo
Monte carlo simulation
Eston process
Option pricing
Carrier options
Original research
Rough volatility moves to exotic frontiers
New simulation scheme clears the way for broader application of the rough Heston model
New york
United states
Monte carlo
Martin keller
Leif andersen
Jim gatheral
Pietro rossi
City university of new york
Baruch college
University of bologna
City university
Martin keller ressel
Rough volatility
Eston process
Exotic options
Derivatives pricing
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