Historical calibration of SVJD models with deep learning
Year of publication: |
[2023]
|
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Authors: | Fičura, Milan ; Witzany, Jiří |
Publisher: |
Prague : Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague |
Subject: | Stochastic volatility | price jumps | SVJD | neural networks | deep learning | CNN | Neuronale Netze | Neural networks | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Lernprozess | Learning process | Experiment | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (circa 26 Seiten) Illustrationen |
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Series: | IES working paper. - Praha : [Verlag nicht ermittelbar], ZDB-ID 2408568-6. - Vol. 2023, 36 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:10419/286365 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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