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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
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