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5. Calibration Problems in Finance:from State Space Models to Iterative Algorithms

Calibration Problems in Finance:from State Space Models to Iterative Algorithms

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：ccshixg

【摘 要】

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We shall start with a brief overview of the importance of calibration methods in mathematical finance in general and risk management in particular.After that we shall focus on the problem of recoverin

【作 者】

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Zubelli Jorge Yang Xu 

【机 构】

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IMPA Instituto Nacional de Matematica Pura e Apli

【出 处】

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第八届工业与应用数学国际大会

【发表日期】

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2015年5期

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论文部分内容阅读

　　We shall start with a brief overview of the importance of calibration methods in mathematical finance in general and risk management in particular.After that we shall focus on the problem of recovering the local volatility(not the implied one)from observed market prices.

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