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Markovian Projection Method for Volatility Calibration

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References

2007Brownian Motion and Stochastic Calculus7,421 cited
1986Mimicking the one-dimensional marginal distributions of processes having an ito differential305 cited
2005Extended Libor market models with stochastic volatility163 cited
2005Stochastic Volatility Model with Time‐dependent Skew85 cited

Cited by

2014THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION67 cited
2008Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss48 cited
2013Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications39 cited
2013Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets35 cited
2010Basket options valuation for a local volatility jump–diffusion model with the asymptotic expansion method32 cited
2020Inverting the Markovian projection, with an application to local stochastic volatility models26 cited
2009MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS21 cited
2021Arbitrage-Free Neural-SDE Market Models20 cited

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