MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (Q5416706)
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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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