Pages that link to "Item:Q6054403"
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The following pages link to Calibration of local‐stochastic volatility models by optimal transport (Q6054403):
Displaying 10 items.
- From Bachelier to Dupire via optimal transport (Q2072111) (← links)
- Optimal control of diffusion processes with terminal constraint in law (Q2082225) (← links)
- The calibration of stochastic local-volatility models: an inverse problem perspective (Q2204027) (← links)
- Path dependent optimal transport and model calibration on exotic derivatives (Q2240848) (← links)
- Existence of a calibrated regime switching local volatility model (Q5109975) (← links)
- Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method (Q5742499) (← links)
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476) (← links)
- Optimal control of the Fokker-Planck equation under state constraints in the Wasserstein space (Q6105325) (← links)
- Joint calibration to SPX and VIX options with signature-based models (Q6667578) (← links)