Browsing Theses by Author "Ko, Michelle"
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A Differentiable Particle Filter for Jump-Diffusion Stochastic Volatility Models
Ko, Michelle (University of Waterloo, 2024-05-28)Stochastic volatility with jumps has emerged as a crucial tool for understanding and modelling the stochastic and intermittently discontinuous nature of many processes in finance. Due to the highly nonlinear structure of ...