3 papers
math.NA2021
Speeding up the Euler scheme for killed diffusions
Umut Çetin, Julien Hok
Let be a linear diffusion taking values in and consider the standard Euler scheme to compute an approximation to for a given f…
q-fin.CP2021
Pricing and Risk Analysis in Hyperbolic Local Volatility Model with Quasi Monte Carlo
Julien Hok, Sergei Kucherenko
Local volatility models usually capture the surface of implied volatilities more accurately than other approaches, such as stochastic volatility models. We present the results of a…
q-fin.MF2018
Calibration of Local Volatility Model with Stochastic Interest Rates by Efficient Numerical PDE Method
Julien Hok, Shih-Hau Tan
Long maturity options or a wide class of hybrid products are evaluated using a local volatility type modelling for the asset price S(t) with a stochastic interest rate r(t). The ca…