Browsing IMEF - Trabalhos apresentados em eventos by Author "Scherzer, Otmar"
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A convex-regularization framework for local-Volatility calibration in derivative markets: the connection with convex-risk measures and exponential families
Cezaro, Adriano de; Scherzer, Otmar; Zubelli, Jorge Passamani (2008)We present a unified framework for the calibration of local volatility models that makes use of recent tools of convex regularization of ill-posed Inverse Problems. The unique aspect of the present approach is that it ...