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The non-parametric calibration of jump-diffusion lévy models
This study investigates the effectiveness of relative-entropy-based regularised calibration procedures at addressing the ill-posedness encountered in the calibration of nonparametric jump-diffusion Lévy models. Calibrated models, which have been selected for their capability of simulating realistic...
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| Format: | Thesis |
| Language: | English English |
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Accounting and Accountability in Africa
2026
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