Journal article

Optimal transport for model calibration

Abstract:: An overview of continuous (semi-martingale) optimal transport for model calibration is given in this paper. Ivan Guo et al present the general framework and then discuss the calibration of local, and local-stochastic, volatility models to European options and the joint VIX/SPX calibration problem as well as calibration to some path-dependent options

Publication status:: Published

Peer review status:: Peer reviewed

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APA Style

Guo, I., Loeper, G., Obloj, J., & Wang, S. (2022). Optimal transport for model calibration. Risk Magazine.

MLA Style

Guo, I, et al. “Optimal Transport for Model Calibration.” Risk Magazine, 2022.

Chicago Style

Guo, I, G Loeper, J Obloj, and S Wang. 2022. “Optimal Transport for Model Calibration.” Risk Magazine.
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Files:: Guo_et_al_2022_Optimal_transport_for_model_calibration.pdf

(Preview, Accepted manuscript, pdf, 3.0MB, Terms of use)

Publication website:: https://www.risk.net/cutting-edge/banking/7911646/optimal-transport-for-model-calibration

Authors

+ Guo, I More by this author

Role:: Author

+ Loeper, G More by this author

Role:: Author

+ Obloj, J More by this author

Institution:: University of Oxford
Division:: MPLS
Department:: Mathematical Institute
Oxford college:: St John's College
Role:: Author
ORCID:: 0000-0002-5686-5498

+ Wang, S More by this author

Role:: Author

Publisher:: Risk.net
Journal:: Risk Magazine More from this journal
Publication date:: 2022-01-05
Acceptance date:: 2021-10-13
ISSN:: 0952-8776

Language:: English
Pubs id:: 1185468
Local pid:: pubs:1185468
Deposit date:: 2021-11-12
ARK identifier:: ark:/29072/ora_72e2acbc116349e4ae5ecb1afabf1e3c

Terms of use

Copyright date:: 2022

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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