MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (Q5416706)
From MaRDI portal
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)
0 references
14 May 2014
0 references
Hull-White model
0 references
functional quantization
0 references
vector quantization
0 references
Karhunen-Loève
0 references
Gaussian process
0 references
fractional Brownian motion
0 references
multifractional Brownian motion
0 references
white noise theory
0 references
S-transform
0 references
Wick-Itō integral
0 references
stochastic differential equations
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
