2 papers
q-fin.PR2025
Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation
Nelson Kyakutwika, Mesias Alfeus, Erik Schlögl
We apply vector quantisation within mixed one- and two-factor Bergomi models to implement a fast and efficient approach for option pricing in these models. This allows us to calibr…
q-fin.ST2023
Bayesian Forecasting of Stock Returns on the JSE using Simultaneous Graphical Dynamic Linear Models
Nelson Kyakutwika, Bruce Bartlett
Cross-series dependencies are crucial in obtaining accurate forecasts when forecasting a multivariate time series. Simultaneous Graphical Dynamic Linear Models (SGDLMs) are Bayesia…