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Fundamentals and advanced techniques in derivatives hedging
Bouchard, Bruno; Chassagneux, Jean-François - 2016
Persistent link: https://www.econbiz.de/10011531565
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Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport
Joseph, Benjamin; Loeper, Grégoire; Obłój, Jan - In: Quantitative finance 24 (2024) 11, pp. 1597-1620
Persistent link: https://www.econbiz.de/10015196948
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Calibration of local-stochastic volatility models by optimal transport
Guo, Ivan; Loeper, Grégoire; Wang, Shiyi - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 46-77
Persistent link: https://www.econbiz.de/10012815947