7 citations · 12 across the 2 of their papers we have counts for
4 papers
Optimal transport for model calibration
Ivan Guo, Gregoire Loeper, Jan Obloj +1
We provide a survey of recent results on model calibration by Optimal Transport. We present the general framework and then discuss the calibration of local, and local-stochastic, v…
Joint Modelling and Calibration of SPX and VIX by Optimal Transport
Ivan Guo, Gregoire Loeper, Jan Obloj +1
This paper addresses the joint calibration problem of SPX options and VIX options or futures. We show that the problem can be formulated as a semimartingale optimal transport probl…
Calibration of Local-Stochastic Volatility Models by Optimal Transport
Ivan Guo, Gregoire Loeper, Shiyi Wang
In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the…
Local Volatility Calibration by Optimal Transport
Ivan Guo, Grégoire Loeper, Shiyi Wang
The calibration of volatility models from observable option prices is a fundamental problem in quantitative finance. The most common approach among industry practitioners is based…