Jim Gatheral proposes efficient and easy-to-implement Riemann sum and hybrid quadratic exponential schemes for the simulation of rough affine forward variance models The class of affine forward ...
The ARIMA model equivalency to the additive version of Winters method is the ARIMA(0,1,p+1)(0,1,0) p model The moving-average form of the equation is For the additive version of Winters method (see ...
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