Calibrating Jump Diffusion Models using Differential Evolution

Determining the correct parameter values to be used in a Jump-Diffusion model is not a trivial process (as outlined here).  In this blog post we will be using the biologically inspired differential evolution technique to calibrate a Jump-Diffusion model using Continue reading Calibrating Jump Diffusion Models using Differential Evolution

Understanding the EM Algorithm

Maximum Likelihood Estimation (MLE) is often the preferred method when it comes to the estimation of statistical models. It is preferred due to the "nice" properties that the estimators from this estimation algorithm have (e.g. estimators are asymptotically normal). This MLE Continue reading Understanding the EM Algorithm