2 papers
q-fin.MF2025
On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
Kaustav Das, Ivan Guo, Grégoire Loeper
The price of a financial derivative can be expressed as an iterated conditional expectation, where the inner term conditions on the future of an auxiliary process. We show that thi…
q-fin.MF2025
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…