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Abstract We derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular i...
In this paper we extend a form of kernel ridge regression for data characterised by a heteroscedastic noise process (introduced in Foxall et al. [1]) in order to provide approxima...
Gavin C. Cawley, Nicola L. C. Talbot, Robert J. Fo...
In addition to providing small mean response times, modern applications seek to provide users predictable service and, in some cases, Quality of Service (QoS) guarantees. In order...