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most citedDynamic Portfolio Optimization with Real Datasets Using Quantum Processors and Quantum-Inspired Tensor Networks

127 citations

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Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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Showing 2011 · q-fin.CPShow all

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q-fin.CP2011

Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility

Eusebio Valero, Manuel Torrealba, Lucas Lacasa +1

This paper considers the single factor Heath-Jarrow-Morton model for the interest rate curve with stochastic volatility. Its natural formulation, described in terms of stochastic d…