REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY (Q2939925)
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| Language | Label | Description | Also known as |
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| English | REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY |
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REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY (English)
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23 January 2015
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implied volatility
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local volatility models
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partial differential equations
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model order reduction
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proper orthogonal decomposition
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discrete empirical interpolation method
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