Convergence of the Euler–Maruyama Particle Scheme for a Regularised McKean–Vlasov Equation Arising from the Calibration of Local-Stochastic Volatility Models-Reference-Cited by-同舟云学术

Convergence of the Euler–Maruyama Particle Scheme for a Regularised McKean–Vlasov Equation Arising from the Calibration of Local-Stochastic Volatility Models

Published:2024 Issue: Volume: Page:561-582
ISSN:2194-1009
Container-title:Springer Proceedings in Mathematics & Statistics
language:en
Short-container-title:

Author:

Reisinger Christoph,Tsianni Maria Olympia

Publisher

Springer International Publishing

Link

https://link.springer.com/content/pdf/10.1007/978-3-031-59762-6_28

Reference29 articles.

1. Abergel, F., Tachet, R.: A nonlinear partial integrodifferential equation from mathematical finance. Discret. Contin. Dyn. Syst. 27(3), 907–917 (2010)

2. Bao, J., Huang, X.: Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients. J. Theor. Probab. 35, 1187–1215 (2022)

3. Bayer, C., Belomestny, D., Butkovsky, O., Schoenmakers, J.: RKHS regularization of singular local stochastic volatility McKean–Vlasov models (2022). arXiv:2203.01160

4. Bossy, M., Talay, D.: A stochastic particle method for the McKean-Vlasov and the Burgers equation. Math. Comput. 66(217), 157–192 (1997)

5. Cozma, A., Mariapragassam, M., Reisinger, C.: Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method. SIAM J. Financ. Math. 10(1), (2019)

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models;Finance and Stochastics;2024-08-07