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math.NA2016
A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models
Maarten Wyns, Jacques Du Toit
Calibration of stochastic local volatility (SLV) models to their underlying local volatility model is often performed by numerically solving a two-dimensional non-linear forward Ko…
math.NA2016
An adjoint method for the exact calibration of Stochastic Local Volatility models
Maarten Wyns, Karel in 't Hout
This paper deals with the exact calibration of semidiscretized stochastic local volatility (SLV) models to their underlying semidiscretized local volatility (LV) models. Under an S…