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....
| Autor principal: | |
|---|---|
| Outros Autores: | |
| Formato: | Tese |
| Idioma: | English |
| Publicado em: |
2024
|
| Assuntos: |