Bayesian uncertainty quantification of local volatility model

DOI10.1007/s13571-022-00286-1arXiv2105.10210OpenAlexW3165435151MaRDI QIDQ6108893

Anirban Mondal, Kai Yin

Publication date: 30 June 2023

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.10210

zbMATH Keywords

Bayesian statisticsuncertainty quantificationlocal volatilityKarhunen-Lòeve expansion

Mathematics Subject Classification ID

Gaussian processes (60G15) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical differentiation (65D25)

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