B-spline techniques for volatility modeling
Sylvain Corlay (Bloomberg Quant Research)
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Corlay, Sulvain |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2016, 3, p. 97-135
|
| Subject: | B-splines | Tikhonov regularization | Radon-Nikodym | stochastic volatility | finite elements | second-order cone programming | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011563492