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20182023
most citedForecasting interest rates through Vasicek and CIR models: a partitioning approach

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q-fin.MF2022

Stochastic Local Volatility models and the Wei-Norman factorization method

Julio Guerrero, Giuseppe Orlando

In this paper, we show that a time-dependent local stochastic volatility (SLV) model can be reduced to a system of autonomous PDEs that can be solved using the Heat kernel, by mean…