Juho Kanniainen

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—This paper illustrates the use of the differentiation matrix technique for solving differential equations in finance. The technique provides a compact and unified formulation for a variety of discreti-sation and time-stepping algorithms for solving problems in one and two dimensions. Using differentiation matrix models, we compare time-stepping algorithms(More)
Presently, managing prediction of metrics in high frequency financial markets is a challenging task. An efficient way to do it is by monitoring the dynamics of a limit order book and try to identify the information edge. This paper describes a new benchmark dataset of high-frequency limit order markets for mid-price prediction. We make publicly available(More)
This paper investigates a global optimization algorithm for the calibration of stochastic volatility models. Two GARCH models are considered, namely the Leverage and the Heston-Nandi model. Empirical information on option prices is used to minimize a loss function that reflects the option pricing error. It is shown that commonly used gradient based(More)
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