Robust calibration and arbitrage-free interpolation of SSVI slices
Sign Up to like & getrecommendations! Published in 2019 at "Decisions in Economics and Finance"
DOI: 10.1007/s10203-019-00249-8
Abstract: We describe a robust calibration algorithm of a set of SSVI maturity slices (i.e., a set of 3 SSVI parameters $$\theta _t, \rho _t, \varphi _t$$θt,ρt,φt attached to each option maturity t available on the market),… read more here.
Keywords: ssvi; calibration arbitrage; arbitrage; robust calibration ... See more keywords
Application of conditional robust calibration to ordinary differential equations models in computational systems biology: a comparison of two sampling strategies.
Sign Up to like & getrecommendations! Published in 2020 at "IET systems biology"
DOI: 10.1049/iet-syb.2018.5091
Abstract: Mathematical modelling is a widely used technique for describing the temporal behaviour of biological systems. One of the most challenging topics in computational systems biology is the calibration of non-linear models; i.e. the estimation of… read more here.
Keywords: robust calibration; computational systems; biology; systems biology ... See more keywords