Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method (Q5742499)

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scientific article; zbMATH DE number 7054541
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Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
scientific article; zbMATH DE number 7054541

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    Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method (English)
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    14 May 2019
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    Heston-type local-stochastic volatility models
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    calibration
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    particle method
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    control variate
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    Fokker-Planck equation
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