most citedDeep Reinforcement Learning for Portfolio Optimization using Latent Feature State Space (LFSS) Module

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q-fin.CP2021

Adaptive calibration of Heston Model using PCRLB based switching Filter

Kumar Yashaswi

Stochastic volatility models have existed in Option pricing theory ever since the crash of 1987 which violated the Black-Scholes model assumption of constant volatility. Heston mod…

q-fin.CP2021

Posterior Cramer-Rao Lower Bound based Adaptive State Estimation for Option Price Forecasting

Kumar Yashaswi

The use of Bayesian filtering has been widely used in mathematical finance, primarily in Stochastic Volatility models. They help in estimating unobserved latent variables from obse…