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q-fin.CP2024
A case study on different one-factor Cheyette models for short maturity caplet calibration
Arun Kumar Polala, Bernhard Hientzsch
In [1], we calibrated a one-factor Cheyette SLV model with a local volatility that is linear in the benchmark forward rate and an uncorrelated CIR stochastic variance to 3M caplets…
q-fin.CP2023
Parametric Differential Machine Learning for Pricing and Calibration
Arun Kumar Polala, Bernhard Hientzsch
Differential machine learning (DML) is a recently proposed technique that uses samplewise state derivatives to regularize least square fits to learn conditional expectations of fun…