scholarly journals Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets

2018 ◽  
Vol 9 (1) ◽  
pp. 127-170 ◽  
Author(s):  
Andrei Cozma ◽  
Matthieu Mariapragassam ◽  
Christoph Reisinger
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Markets ◽  
Euler Scheme ◽  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Exchange Markets ◽  
Stochastic Local Volatility

A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE

2009 ◽  
Vol 12 (06) ◽  
pp. 877-899 ◽  
Author(s):  
CLAUDIO ALBANESE ◽  
ALEKSANDAR MIJATOVIĆ
Keyword(s):  
Stochastic Volatility ◽  
Foreign Exchange ◽  
Continuous Time ◽  
Efficient Algorithms ◽  
Stochastic Volatility Model ◽  
Foreign Exchange Markets ◽  
Local Volatility ◽  
Volatility Model ◽  
Exchange Markets

It is a widely recognized fact that risk-reversals play a central role in the pricing of derivatives in foreign exchange markets. It is also known that the values of risk-reversals vary stochastically with time. In this paper we introduce a stochastic volatility model with jumps and local volatility, defined on a continuous time lattice, which provides a way of modeling this kind of risk using numerically stable and relatively efficient algorithms.

A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs

2020 ◽  
Vol 177 ◽  
pp. 467-486
Author(s):  
Ana María Ferreiro-Ferreiro ◽  
José A. García-Rodríguez ◽  
Luis Souto ◽  
Carlos Vázquez
Keyword(s):  
Parallel Implementation ◽  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Stochastic Local Volatility

Calibrating and Pricing with a Stochastic-Local Volatility Model

2015 ◽  
Vol 22 (3) ◽  
pp. 21-39 ◽  
Author(s):  
Yu Tian ◽  
Zili Zhu ◽  
Geoffrey Lee ◽  
Fima Klebaner ◽  
Kais Hamza
Keyword(s):  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Stochastic Local Volatility
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