Machine Learning Techniques for Deciphering Implied Volatility Surface Data in a Hostile Environment : Scenario Based Particle Filter, Risk Factor Decomposition & Arbitrage Constraint Sampling
Year of publication: |
2019
|
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Authors: | Mahdavi-Damghani, Babak |
Other Persons: | Roberts, Stephen (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Künstliche Intelligenz | Artificial intelligence | Stichprobenerhebung | Sampling | Theorie | Theory | Prognoseverfahren | Forecasting model | Arbitrage | Dekompositionsverfahren | Decomposition method | Portfolio-Management | Portfolio selection |
Extent: | 1 Online-Ressource (27 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 4, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.3133862 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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