8 citations · 14 across the 2 of their papers we have counts for
3 papers
math.PR2025
On the Weak Error for Local Stochastic Volatility Models
Peter K. Friz, Benjamin Jourdain, Thomas Wagenhofer +1
Local stochastic volatility refers to a popular model class in applied mathematical finance that allows for "calibration-on-the-fly", typically via a particle method, derived from…
q-fin.PR2024★ 8 cited
Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements
A. Agarwal, S. De Marco, E. Gobet +3
We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide ex…
math.PR2016★ 6 cited
Existence of a calibrated regime switching local volatility model and new fake Brownian motions
Benjamin Jourdain, Alexandre Zhou
By Gyongy's theorem, a local and stochastic volatility (LSV) model is calibrated to the market prices of all European call options with positive maturities and strikes if its local…