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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 84, 2012 - Issue 5-6: The Mark H.A. Davis festschrift: stochastics, control and finance
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Original Articles

Boundary conditions for computing densities in hybrid models via PDE methods

Vladimir Lucic Equity Derivatives Quant Research, London, UKCorrespondence[email protected]
Pages 705-718 | Received 03 Oct 2010, Accepted 07 Jan 2012, Published online: 03 Feb 2012

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Lina von Sydow, Slobodan Milovanović, Elisabeth Larsson, Karel In't Hout, Magnus Wiktorsson, Cornelis W. Oosterlee, Victor Shcherbakov, Maarten Wyns, Alvaro Leitao, Shashi Jain, Tinne Haentjens & Johan Waldén. (2019) BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems. International Journal of Computer Mathematics 96:10, pages 1910-1923.
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Articles from other publishers (5)

Daniel J. Duffy. 2021. Numerical Methods in Computational Finance. Numerical Methods in Computational Finance 497 504 .
Yuri F. Saporito, Xu Yang & Jorge P. Zubelli. (2019) The calibration of stochastic local-volatility models: An inverse problem perspective. Computers & Mathematics with Applications 77:12, pages 3054-3067.
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Andrei Cozma, Matthieu Mariapragassam & Christoph Reisinger. (2019) Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method. SIAM Journal on Financial Mathematics 10:1, pages 181-213.
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Vladimir Lucic. (2018) Volatility Notes. SSRN Electronic Journal.
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Yu Tian. (2013) The Hybrid Stochastic-Local Volatility Model with Applications in Pricing FX Options. SSRN Electronic Journal.
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