The swap market model with local stochastic volatility

Kenjiro Oya
03 Jul 2018

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

CLICK HERE TO VIEW THE PDF

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)

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]