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Stochastic local volatility model calibration

Python 100.00%

stochasticlocalvolatilitymodels's Introduction

Stochastic Local Volatility Models

  • Stochastic local volatility model calibration
  • McKean-Vlasov type equity dynamic
  • Particle method type calibration algorithm

Results

Local volatility surface with flat equity smile

Clustering layer results

Local volatility surface with non flat equity smile

Clustering layer results

Local volatility surface with low interest rate volatility

Clustering layer results

SLV local volatility surface - 100 particle

Clustering layer results

SLV local volatility surface - 1000 particle

Clustering layer results

stochasticlocalvolatilitymodels's People

Contributors

othmane-zarhali avatar

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