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Markovian Projection Method for Volatility Calibration · Study

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PreprintMarkovian Projection Method for Volatility Calibration

Vladimir Piterbarg2006

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Preprintgreen2006

Markovian Projection Method for Volatility Calibration

Vladimir Piterbarg

74 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2007Brownian Motion and Stochastic Calculus 1986Mimicking the one-dimensional marginal distributions of processes having an ito differential 2005Extended Libor market models with stochastic volatility 2005Stochastic Volatility Model with Time‐dependent Skew

Cited by

2014THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION 2008Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss 2013Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications 2013Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets 2010Basket options valuation for a local volatility jump–diffusion model with the asymptotic expansion method 2020Inverting the Markovian projection, with an application to local stochastic volatility models

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2006Fast strong approximation Monte Carlo schemes for stochastic volatility modelsarticle · 2 shared references 2013Mimicking an Itô process by a solution of a stochastic differential equationarticle · 2 shared references 2014THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATIONarticle · 2 shared references 2008Absolute continuity for some one-dimensional processespreprint · 2 shared references 2016DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCEarticle · 2 shared references 2009Solving SABR in Exact Form and Unifying it with LIBOR Market Modelpreprint · 2 shared references

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations74

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.906473

openalex_workW2734426420

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