P.zza Roma 22
Università Politecnica delle Marche - Department of Management
Stochastic volatility model, option pricing, stochastic interest rate
Stochastic volatility model, Kolmogorov backward equation, maximum likelihood function, government bond yield forecasting
Calibration, Validation, Forecasting, Agent-based models, Asset pricing, Heterogeneous beliefs
Finance, Option pricing, Stochastic volatility models, Calibration procedure
Laplace transform, convolution, spot volatility, nonparametric estimation, high frequency data, microstructure noise
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multiscale stochastic volatility models, filtering problems, calibration model, option pricing
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