3 papers
q-fin.CP2023
The Martingale Sinkhorn Algorithm
Manuel Hasenbichler, Benjamin Joseph, Gregoire Loeper +2
We develop a numerical method for the martingale analogue of the Benamou--Brenier optimal transport problem, which seeks a martingale interpolating two prescribed marginals which i…
q-fin.MF2023
Joint Calibration of Local Volatility Models with Stochastic Interest Rates using Semimartingale Optimal Transport
Benjamin Joseph, Gregoire Loeper, Jan Obloj
We develop and implement a non-parametric method for joint exact calibration of a local volatility model and a correlated stochastic short rate model using semimartingale optimal t…
q-fin.MF2023
Calibration of Local Volatility Models with Stochastic Interest Rates using Optimal Transport
Benjamin Joseph, Gregoire Loeper, Jan Obloj
We develop a non-parametric, semimartingale optimal transport, calibration methodology for local volatility models with stochastic interest rate. The method finds a fully calibrate…