numerical-optimization

Heston model has accurate density approximations for European option prices, which are of interest.

The module implementing this method should live under tf_quant_finance/volatility/heston_approximation.py. It should support both European option puts and calls approximations. Tests should be in heston_approximation_test.py in the same folder.

argmin should be tested in a WASM environment.

Suppose one chain is stuck on one mode; another on another mode. If those two chains may sample independently from each mode, the ESSs will be high when, really, they should be near zero since the samples don't represent anything like independently from the overall distribution. This is why multichain ESS makes sense and we should implement it. I feel like this will give a much better picture of t