A Reproducing Kernel Hilbert Space approach to singular local stochastic volatility McKean-Vlasov models
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- Benjamin Jourdain & Alexandre Zhou, 2020. "Existence of a calibrated regime switching local volatility model," Mathematical Finance, Wiley Blackwell, vol. 30(2), pages 501-546, April.
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- Christoph Reisinger & Maria Olympia Tsianni, 2023. "Convergence of the Euler--Maruyama particle scheme for a regularised McKean--Vlasov equation arising from the calibration of local-stochastic volatility models," Papers 2302.00434, arXiv.org, revised Aug 2023.
- Enrico Dall’Acqua & Riccardo Longoni & Andrea Pallavicini, 2023.
"Rough-Heston Local-Volatility Model,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 26(06n07), pages 1-18, November.
- Enrico Dall'Acqua & Riccardo Longoni & Andrea Pallavicini, 2022. "Rough-Heston Local-Volatility Model," Papers 2206.09220, arXiv.org.
- Mao Fabrice Djete, 2022. "Non--regular McKean--Vlasov equations and calibration problem in local stochastic volatility models," Papers 2208.09986, arXiv.org, revised Oct 2024.
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