Gran Via de les Corts Catalanes, 585
University of Barcelona
Black-Scholes formula, derivative operator, Itô's formula for the Skorohod integral, jump-diffusion stochastic volatility model
Hull and White formula, Malliavin calculus, Ito's formula for the Skorohod integral, jumpdiffusion stochastic volatility models
topological data analysis, statistical topology, complex systems, financial time series
Fractional Brownian motion, Additive functionals, Local time, Chaotic expansion, Fractional derivative, Hilbert transform, Sobolev-Watanabe spaces
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computational finance, Heston model, option pricing, price approximations, stochastic volatility models, vanilla options
File name: SSRN-id3648205.pdf
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