The calibration of stochastic local-volatility models: an inverse problem perspective

DOI10.1016/j.camwa.2019.01.029zbMath1442.91066arXiv1711.03023OpenAlexW2964334813WikidataQ128336438 ScholiaQ128336438MaRDI QIDQ2204027

Yuri F. Saporito, Xu Yang, Jorge P. Zubelli

Publication date: 2 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.03023

zbMATH Keywords

inverse problemscalibrationfinancial mathematicslocal volatilitystochastic local-volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (6)

CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSION ⋮ Effective Markovian projection: application to CMS spread options and mid-curve swaptions ⋮ Automatic adjoint differentiation for gradient descent and model calibration ⋮ Calibration of local‐stochastic volatility models by optimal transport ⋮ Inverting the Markovian projection, with an application to local stochastic volatility models ⋮ Fast reconstruction of time-dependent market volatility for European options

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