Search Results for author: Matthieu Mariapragassam

Found 1 papers, 0 papers with code

Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method

no code implementations21 Jan 2017 Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger

We propose a novel and generic calibration technique for four-factor foreign-exchange hybrid local-stochastic volatility models with stochastic short rates.

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