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EPISODE · Nov 30, 2018 · 14 MIN

Dominique Bang – 29/11/18

from Quantcast – a Risk.net Cutting Edge podcast · host Quantcast – a Risk.net Cutting Edge podcast

Dominique Bang discusses a novel method to mix a pure stochastic volatility process with a generic local volatility function, using Lamperti’s transform

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Dominique Bang discusses a novel method to mix a pure stochastic volatility process with a generic local volatility function, using Lamperti’s transform

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Dominique Bang – 29/11/18

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How long is this episode of Quantcast – a Risk.net Cutting Edge podcast?

This episode is 14 minutes long.

When was this Quantcast – a Risk.net Cutting Edge podcast episode published?

This episode was published on November 30, 2018.

What is this episode about?

Dominique Bang discusses a novel method to mix a pure stochastic volatility process with a generic local volatility function, using Lamperti’s transform

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