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Model Calibration with Machine Learning
Published 2019“…In addition, the main experiment features the calibration of the Heston model using model-generated data. In the experiment, we show that the calibrated model parameters reprice a set of options to a mean relative implied volatility error of less than one per cent. …”
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Modelling probabilities of corporate default
Published 2020“…This dissertation follows, scrupulously, the probability of default model used by the National University of Singapore Risk Management Institute (NUS-RMI). …”
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Asymptotics of the Rough Heston Model
Published 2022“…The recent explosion of work on rough volatility and fractional Brownian motion has led to the development of a new generation of stochastic volatility models. Such models are able to capture a wide range of stylised facts that classical models simply do not. …”
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Computational modelling of hydrogel therapies
Published 2025Subjects: “…Computational modelling…”
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Alternatives to the Black-Scholes model
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Optimisation of complex simulation models
Published 2014“…Computer simulation models are widely and frequently used to model real systems to predict output responses under specified input conditions. …”
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Modelling illiquid volatility skews
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A noncommutative sigma model
Published 2013Subjects: “…Sigma model…”
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Acoustic modelling of cochlear implants
Published 2013Subjects: “…Acoustic model…”
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Intonation modelling for the Nguni languages
Published 2013Subjects: “…Intonation modelling…”
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The establishment of an adjustment model for expatriates
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Reliability modelling of complex systems
Published 2013Subjects: “…Modelling…”
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Acoustic models of cochlear implants
Published 2013Subjects: “…Acoustic model…”
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Topic Modelling for Short Text
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Modelling uranium leaching kinetics
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Measuring and Modelling Autophagic Flux
Published 2019Subjects: “…Computational modelling…”
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