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Latest revision as of 12:03, 8 July 2024

scientific article; zbMATH DE number 6295268
Language Label Description Also known as
English
MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
scientific article; zbMATH DE number 6295268

    Statements

    MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (English)
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    14 May 2014
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    Hull-White model
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    functional quantization
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    vector quantization
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    Karhunen-Loève
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    Gaussian process
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    fractional Brownian motion
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    multifractional Brownian motion
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    white noise theory
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    S-transform
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    Wick-Itō integral
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    stochastic differential equations
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