conditional density 1dupire equation 1fokker-planck equation 1ito-wentzell formula 1local stochastic volatility 1musiela parametrization 1option pricing 1pathwise filtering 1rough Heston 1rough volatility 1stochastic partial differential equations 1stochastic volatility 1
From the 2 of 2 linked papers with an AI index.
2 papers
q-fin.MF2026
Local Stochastic Rough Volatility: Pathwise Filtering and the Conditional Density Equation
Damiano Brigo, Vladimir Lucic
The paper analyzes the conditional density equation for local stochastic rough volatility models, showing that the Itô‑Wentzell random PDE reduction remains valid and can be transf…
q-fin.MF2026
Ito-Wentzell Formula and Dupire Stochastic PDE
Vladimir Lucic
The paper derives a conditional forward equation and a stochastic Dupire PDE for local‑stochastic‑volatility models using the Ito‑Wentzell formula, and applies these results to est…