On the weak error for local stochastic volatility models

DOI10.1137/25M1768515MaRDI QIDQ7323016zbMATH OpenFDO

Authors Peter Friz, Benjamin Jourdain, Thomas Wagenhofer, Alexandre Zhou

Publication date 1 September 2026

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/25M1768515

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

Cites work

• A family of non-Gaussian martingales with Gaussian marginals
• A nonlinear partial integro-differential equation from mathematical finance
• A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean-Vlasov models
• Convergence of the Euler-Maruyama particle scheme for a regularised McKean-Vlasov equation arising from the calibration of local-stochastic volatility models
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Edgeworth type expansions for Euler schemes for stochastic differential equations.
• Existence of a calibrated regime switching local volatility model
• Expansion of the global error for numerical schemes solving stochastic differential equations
• Faking Brownian motion with continuous Markov martingales
• scientific article; zbMATH DE number 1222810 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• Inverting the Markovian projection, with an application to local stochastic volatility models
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• Mimicking an Itō process by a solution of a stochastic differential equation
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Peacocks and associated martingales, with explicit constructions
• Regularity and propagation of chaos for conditional McKean-Vlasov equations
• Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
• Weak rate of convergence for an Euler scheme of nonlinear SDE’s

This page was built for publication: On the weak error for local stochastic volatility models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7323016)