Stochastic Process Calibration using Bayesian Inference & Probabilistic Programs
Posted on Fri 18 January 2019 in data-science • Tagged with probabilistic-programming, python, pymc3, quant-finance, stochastic-processes
Stochastic processes are used extensively throughout quantitative finance - for example, to simulate asset prices in risk models that aim to estimate key risk metrics such as Value-at-Risk (VaR), Expected Shortfall (ES) and Potential Future Exposure (PFE). Estimating the parameters of a stochastic processes - referred to as ‘calibration’ in the parlance …
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