The swap market model with local stochastic volatility

Kenjiro Oya
03 Jul 2018

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Here, Kenjiro Oya presents a multi-factor swap market model with non-parametric local volatility functions and stochastic volatility scaling factors. He provides a Dupire-like formula that can be used to carry out calibration with the particle algorithm in an efficient manner, proving the high accuracy of his calibration algorithm through numerical experiments

Owing to its outstanding smile calibration capability, the local volatility model developed by Dupire (1994)

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