3 papers
math.OC2025
Convergence Rates of Time Discretization in Extended Mean Field Control
Christoph Reisinger, Wolfgang Stockinger, Maria Olympia Tsianni +1
Piecewise constant control approximation provides a practical framework for designing numerical schemes of continuous-time control problems. We analyze the accuracy of such approxi…
q-fin.CP2025
Numerical analysis of a particle system for the calibrated Heston-type local stochastic volatility model
Christoph Reisinger, Maria Olympia Tsianni
We analyse a Monte Carlo particle method for the simulation of the calibrated Heston-type local stochastic volatility (H-LSV) model. The common application of a kernel estimator fo…
q-fin.CP2023
Convergence of the Euler--Maruyama particle scheme for a regularised McKean--Vlasov equation arising from the calibration of local-stochastic volatility models
Christoph Reisinger, Maria Olympia Tsianni
In this paper, we study the Euler--Maruyama scheme for a particle method to approximate the McKean--Vlasov dynamics of calibrated local-stochastic volatility (LSV) models. Given th…