A novel Monte Carlo approach to hybrid local volatility models (Q4555144): Difference between revisions

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-Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
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@@ Property / author @@
+Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
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+APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
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+EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS
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+THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
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+Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
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+High-Order Collocation Methods for Differential Equations with Random Inputs
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+Publication:4555144