160 citations · 241 across the 28 of their papers we have counts for
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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…