5 citations · 9 across the 11 of their papers we have counts for
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q-fin.CP2017
The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective
Yuri F. Saporito, Xu Yang, Jorge P. Zubelli
We tackle the calibration of the so-called Stochastic-Local Volatility (SLV) model. This is the class of financial models that combines the local and stochastic volatility features…
math.PR2017★ 5 cited
A general continuous-state nonlinear branching process
Pei-Sen Li, Xu Yang, Xiaowen Zhou
In this paper we consider the unique nonnegative solution to the following generalized version of the stochastic differential equation for a continuous-state branching process. \be…