- Calibration of Local-Stochastic Volatility Models by Optimal Transport
2019/06/15 by Ivan Guo, Grégoire Loeper, Guo, Ivan +4 · 3 citations
Economics, Econometrics and Finance · Mathematics · #Applied mathematics #Calibration #Convex function #Dual (grammatical number) #Econometrics #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Heston model #Local volatility #Martingale (probability theory) #Mathematical Finance (q-fin.MF) #Mathematical optimization #Mathematics #Monetary Policy and Economic Impact #Optimization and Control (math.OC) #Regular polygon #SABR volatility model #Stochastic processes and financial applications #Stochastic volatility #Volatility (finance) #math.OC #q-fin.MF