Optimal Transport for Model Calibration
نویسندگان
چکیده
We provide a survey of recent results on model calibration by Optimal Transport. present the general framework and then discuss local, local-stochastic, volatility models to European options, joint VIX/SPX problem as well some path-dependent options. explain numerical algorithms examples both synthetic market data.
منابع مشابه
Automatic Selection for Optimal Calibration Model of Camera
When calibration model express camera status well, calibration result will be accurate. How to select optimal calibration model for different camera by program is significant to calibrate automatically. A method of selecting optimal calibration model was proposed in this paper. First, the models including enough possible status were selected from physical models and Chebyshev models. These mode...
متن کاملOptimal calibration method for water distribution water quality model.
A water quality model is to predict water quality transport and fate throughout a water distribution system. The model is not only a promising alternative for analyzing disinfectant residuals in a cost-effective manner, but also a means of providing enormous engineering insights into the characteristics of water quality variation and constituent reactions. However, a water quality model is a re...
متن کاملAutomatic Calibration of HEC-HMS Model Using Multi-Objective Fuzzy Optimal Models
Estimation of parameters of a hydrologic model is undertaken using a procedure called “calibration” in order to obtain predictions as close as possible to observed values. This study aimed to use the particle swarm optimization (PSO) algorithm for automatic calibration of the HEC-HMS hydrologic model, which includes a library of different event-based models for simulating the rainfall-runoff pr...
متن کاملExtraction of model parameters for reactive solute transport
In the present study, tried to examine the reactive solute relationships for transport and degradation processes through the rockfill media. By applying the analytical solution of reactive transport, the 1st to 3rd theoretical temporal moments have been extracted then, by using two methods of curve fitting and temporal moment matching, the coefficients of dispersion and degradation have been ex...
متن کاملA Novel System-Level Calibration Method for Gimballed Platform IMU Using Optimal Estimation
An accurate calibration of inertial measurement unit errors is increasingly important as the inertial navigation system requirements become more stringent. Developing calibration methods that use as less as possible of IMU signals has 6-DOF gimballed IMU in space-stabilized mode is presented. It is considered as held stationary in the test location incorporating 15 di...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2021
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.3876854