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International Journal of Computer Mathematics Volume 94, 2017 - Issue 11: Stochastic and Computational Finance

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Original Articles

A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models

Maarten WynsDepartment of Mathematics and Computer Science, University of Antwerp, Antwerp, BelgiumCorrespondence[email protected]
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Jacques Du ToitNumerical Algorithms Group, Manchester, UKView further author information

Pages 2239-2267 | Received 09 Nov 2016, Accepted 01 Feb 2017, Published online: 15 Mar 2017

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https://doi.org/10.1080/00207160.2017.1297805
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Articles from other publishers (5)

Ivan Guo, Grégoire Loeper & Shiyi Wang. (2021) Calibration of local‐stochastic volatility models by optimal transport. Mathematical Finance 32:1, pages 46-77.
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Chin-Wing Leung, Shuyue Hu & Ho-Fung Leung. (2021) Formal Modeling of Reinforcement Learning with Many Agents through Repeated Local Interactions. Formal Modeling of Reinforcement Learning with Many Agents through Repeated Local Interactions.

Istvan Z. Reguly, Branden Moore, Tim Schmielau, Jacques du Toit & Gihan R. Mudalige. 2019. High Performance Computing. High Performance Computing 124 141 .

Daniel Guterding & Wolfram Boenkost. (2018) The Heston stochastic volatility model with piecewise constant parameters — efficient calibration and pricing of window barrier options. Journal of Computational and Applied Mathematics 343, pages 353-362.
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Daniel Guterding & Wolfram Boenkost. (2017) The Heston Stochastic Volatility Model with Piecewise Constant Parameters - Efficient Calibration and Pricing of Window Barrier Options. SSRN Electronic Journal.
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