Existence of a calibrated regime switching local volatility model-Reference-Cited by-同舟云学术

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Existence of a calibrated regime switching local volatility model

Published:2020-04 Issue:2 Volume:30 Page:501-546
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Jourdain Benjamin¹,Zhou Alexandre¹

Affiliation:

1. Université Paris‐Est, Cermics (ENPC)INRIAMarne‐la‐Vallée France

Funder

Agence Nationale de la Recherche

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12231

Reference27 articles.

1. A nonlinear partial integro-differential equation from mathematical finance

2. STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS

3. Positive Densities of Transition Probabilities of Diffusion Processes

4. Prices of State-Contingent Claims Implicit in Option Prices

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

2. Convergence of the Euler–Maruyama Particle Scheme for a Regularised McKean–Vlasov Equation Arising from the Calibration of Local-Stochastic Volatility Models;Springer Proceedings in Mathematics & Statistics;2024

3. Faking Brownian motion with continuous Markov martingales;Finance and Stochastics;2023-12-13

4. Effective stochastic local volatility models;Quantitative Finance;2023-11-15

5. Deep Curve-Dependent PDEs for Affine Rough Volatility;SIAM Journal on Financial Mathematics;2023-04-25

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