12 citations · 16 across the 3 of their papers we have counts for
4 papers
Calibration of Local-Stochastic and Path-Dependent Volatility Models to Vanilla and No-Touch Options
Alan Bain, Matthieu Mariapragassam, Christoph Reisinger
We propose a generic calibration framework to both vanilla and no-touch options for a large class of continuous semi-martingale models. The method builds upon the forward partial i…
Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger
We propose a novel and generic calibration technique for four-factor foreign-exchange hybrid local-stochastic volatility models with stochastic short rates. We build upon the parti…
Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger
We study the Heston-Cox-Ingersoll-Ross++ stochastic-local volatility model in the context of foreign exchange markets and propose a Monte Carlo simulation scheme which combines the…
A Forward Equation for Barrier Options under the Brunick&Shreve Markovian Projection
Ben Hambly, Matthieu Mariapragassam, Christoph Reisinger
We derive a forward equation for arbitrage-free barrier option prices, in terms of Markovian projections of the stochastic volatility process, in continuous semi-martingale models.…