Simulation of Local Stochastic Volatility Models

MaRDI QIDQ7400068ZenodoFDO

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

Publication date 15 July 2025

Copyright license Creative Commons Attribution 4.0 International

Software version identifier 1.0

Community MATH+

Description

Companion code for article "On the Weak Error for Local Stochastic Volatility Models". PKF and TW acknowledge support from DFG CRC/TRR 388 ``Rough Analysis, Stochastic Dynamics and Related Fields", Projects A02 and B04. TW was initially supported by MATH+, as PhD student in the Berlin Mathematical School (BMS), and then by IRTG 2544 Stochastic Analysis in Interaction - DFG project-ID 410208580. BJ acknowledges support of the Chaire Risques Financiers, Fondation du Risque.

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