Browsing Mathematics (Faculty of) by Author "Fang, Yizhou"
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Computationally Efficient Multi-Asset Stochastic Volatility Modeling
Fang, Yizhou (University of Waterloo, 2018-08-24)Stochastic volatility (SV) models are popular in financial modeling, because they capture the inherent uncertainty of the asset volatility. Since assets are observed to co-move together, multi-asset SV (mSV) models are ... -
Inference for Continuous Stochastic Processes Using Gaussian Process Regression
Fang, Yizhou (University of Waterloo, 2014-01-21)Gaussian process regression (GPR) is a long-standing technique for statistical interpolation between observed data points. Having originally been applied to spatial analysis in the 1950s, GPR offers highly nonlinear ...