A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models

Motivated by the challenges related to the calibration of financial models, we consider the problem of numerically solving a singular McKean–Vlasov equation dXt=σ(t,Xt)XtvtE[vt

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Year of publication:	2024
Authors:	Bayer, Christian ; Belomestny, Denis ; Butkovsky, Oleg ; Schoenmakers, John
Published in:	Finance and Stochastics. - Berlin, Heidelberg : Springer, ISSN 1432-1122. - Vol. 28.2024, 4, p. 1147-1178
Publisher:	Berlin, Heidelberg : Springer
Subject:	Stochastic volatility models \| Singular McKean–Vlasov equations \| Reproducing kernel Hilbert space

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.1007/s00780-024-00541-5 [DOI] hdl:10419/315067 [Handle]
Classification:	C63 - Computational Techniques ; G17 - Financial Forecasting
Source:	EconStor

Persistent link: https://www.econbiz.de/10015359559