Collet J.J.; Fadili J.M. - School of Economics and Finance, Business School - 2005
In this paper, we propose to study the synthesis of Gegenbauer processes using the wavelet packets transform. In order to simulate 1-factor Gegenbauer process, we introduce an original algorithm, inspired by the one proposed by Coifman and Wickerhauser [CW92], to adaptively search for the...