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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…
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…