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Antonov and Piterbarg – 22/11/22

Quantcast – a Risk.net Cutting Edge podcast

CHAPTER

Interpolating Functions in One Dimension

The inspiration, I guess, from the method comes from image reconstruction. As Alexander said, the randomness of the ability to use kind of randomly selected points is a key reason for why we wanted to do this. And was this method in existence already, as in other fields, was he applied already elsewhere? Well, maybe I'll just add a couple of words. We have super great methods, full year, chair, bishop, and so on. When you try to generalize to multiple dimensions, and here we talk about, let's say, 10 to 20 dimensions is what we think is the typical financial problem. If you try to do it on a regular grid, as Alexander said

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