Model calibration with optimal transport: stochastic interest rates and Bass interpolation
<p>We introduce a non-parametric, optimal transport driven method of calibrating a two dimensional log-stock and stochastic interest rate model. The method finds a fully calibrated model which is the closest (in a way that can be defined by a general cost function) to a given reference model....
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| Format: | Thesis |
| Language: | English |
| Published: |
2024
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