Browsing Statistics and Actuarial Science by Subject "calibration"
Now showing items 1-2 of 2
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On the roughness of paths and processes
(University of Waterloo, 2021-09-10)In recent years, a significant amount of the stochastic volatility literature has focused on modelling the ``roughness" or irregularity of the unobserved volatility time series and its effect on option pricing. In many ... -
Prediction of recurrent events
(University of Waterloo, 2004)In this thesis, we will study issues related to prediction problems and put an emphasis on those arising when recurrent events are involved. First we define the basic concepts of frequentist and Bayesian statistical ...