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高级股权衍生品工具：Advanced Equity Derivatives,Local Volatility,Stochastic Corr
3 个回复 - 1202 次查看高级股权衍生品工具：Advanced Equity Derivatives,Advanced Equity Derivatives,Local Volatility,Stochastic Correlation(我在学习国际金融学时，导师推荐给我学习资料，包括我导师的学术论文及经典解读，学习交流 ...2020-7-31 09:24 - lotus_sss - 现金交易版

Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes
2 个回复 - 1120 次查看 Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models by Andrey Itkin World Scientific Publishing, 2020 ISBN: 978-981-121-276-5 h ...2021-4-2 05:40 - SleepyTom - 金融工程（数量金融）与金融衍生品

求Efficient trinomial trees for local‐volatility models in pricing
3 个回复 - 349 次查看【作者(必填)】Lok U H, Lyuu Y D. 【文题(必填)】 Efficient trinomial trees for local‐volatility models in pricing double‐barrier options 【年份(必填)】2019 【全文链接或数据库名称(选填)】http ...2019-12-10 09:10 - 地下爆菊 - 求助成功区

Local Volatility
5 个回复 - 2412 次查看 Local Volitility This chapter covers the simplest and most widely used stochastic volatility model: the local volatility model. Local volatility [37], [40] was introduced as an extension of the ...2017-8-28 23:54 - martinnyj - 金融学（理论版）

Local Volatility Pricing Models for Long-Dated FX Derivatives
3 个回复 - 848 次查看【作者(必填)】Griselda Deelstra, and Griselda Deelstra 【文题(必填)】Local Volatility Pricing Models for Long-Dated FX Derivatives 【年份(必填)】2012 【全文链接或数据库名称(选填)】http://www. ...2018-2-5 22:01 - Bumboo - 求助成功区

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation
1 个回复 - 1317 次查看【作者(必填)】Anthonie van der Stoep[/backcolor]Lech A. Grzelak[/backcolor]Cornelis W. Oosterlee[/backcolor] 【文题(必填)】 The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simula ...2018-1-28 20:12 - Bumboo - 求助成功区

The forward smile in local–stochastic volatility models
1 个回复 - 733 次查看【作者(必填)】Andrea Mazzon and Andrea Pascucci 【文题(必填)】The forward smile in local–stochastic volatility models 【年份(必填)】2017 【全文链接或数据库名称(选填)】Journal of Computational ...2017-1-18 16:05 - Bumboo - 文献求助专区

Local Volatility Enhanced by a Jump to Default
0 个回复 - 969 次查看 Local Volatility Enhanced by a Jump to Default2016-10-19 14:37 - fymmwyw1 - 金融工程（数量金融）与金融衍生品

Calibrating and Pricing with a Stochastic-Local Volatility Model
4 个回复 - 1209 次查看【作者(必填)】Tian, Zhu, Lee, Klebaner, Hamza 【文题(必填)】Calibrating and Pricing with a Stochastic-Local Volatility Model 【年份(必填)】2015 【全文链接或数据库名称(选填)】Journal of Derivati ...2016-6-29 16:28 - Bumboo - 文献求助专区

Stochastic Local Volatility
1 个回复 - 998 次查看【作者(必填)】Grigore Tataru, Travis Fisher 【文题(必填)】Stochastic Local Volatility 【年份(必填)】2010 【全文链接或数据库名称(选填)】Quantitative Development Group, Bloomberg. Version 1, Fe ...2016-5-30 18:55 - Bumboo - 求助成功区

Interest rate models enhanced with local volatility
0 个回复 - 576 次查看【作者(必填)】Lingling Cao, Pierre Henry-Labordère 【文题(必填)】 Interest rate models enhanced with local volatility【年份(必填)】 2016 【全文链接或数据库名称(选填)】http://www.risk.net/derivati ...2017-2-14 16:24 - Bumboo - 文献求助专区

Non-parametric local volatility formula for interest rate swaptions
0 个回复 - 1031 次查看【作者(必填)】Gatarek, Jabłecki and Qu 【文题(必填)】Non-parametric local volatility formula for interest rate swaptions 【年份(必填)】2016 【全文链接或数据库名称(选填)】http://www.risk.net ...2017-2-14 16:19 - Bumboo - 文献求助专区

local volatility和 sv 模型的delta怎么求?
11 个回复 - 7094 次查看 local 和 sv 模型的delta是否不同于bs那样有解析公式，都是用数值方法求得的？local volatility model 是否用 implied volatility的信息校准出sigma(s,t)，然后用这个sigma(s,t)来解pde（数值方法）可以得到期权价格 ...2014-3-11 12:35 - cooper56 - 金融工程（数量金融）与金融衍生品

Calibrating and Pricing with a Stochastic-Local Volatility Model
2 个回复 - 1500 次查看【作者(必填)】Yu Tian, Zili Zhu, Geoffrey Lee, Fima Klebaner, and Kais Hamza 【文题(必填)】 Calibrating and Pricing with a Stochastic-Local Volatility Model 【年份(必填)】 Spring 2015, Vol. 22, ...2015-6-8 12:20 - ssylzz - 求助成功区

问一下当地波动率locale volatility的问题
2 个回复 - 1789 次查看要做个关于local volatilitymodell的报告，但是目前为止一无所知。请教一下什么是局部波动率模型(Local Volatility Model)，有什么参考文献可以推荐一下吗？2011-4-2 17:03 - 都市贝贝 - 金融学（理论版）

Analytical formulas for a local volatility model with stochastic rates
1 个回复 - 1068 次查看【作者(必填)】【文题(必填)】 Analytical formulas for a local volatility model with stochastic rates【年份(必填)】【全文链接或数据库名称(选填)】http://www.tandfonline.com/doi/abs/10.1080/1469768 ...2015-1-29 00:50 - ssylzz - 求助成功区

正式版Local volatility dynamic models
1 个回复 - 1023 次查看【作者(必填)】【文题(必填)】Local volatility dynamic models 【年份(必填)】Finance and Stochastics January 2009, Volume 13, Issue 1, pp 1-48 【全文链接或数据库名称(选填)】http://link.springe ...2015-1-29 00:52 - ssylzz - 求助成功区

Reconstructing the unknown local volatility function
2 个回复 - 785 次查看【作者(必填)】 Thomas F. Coleman, Yuynig Li, and Arun Verma. 【文题(必填)】Reconstructing the unkown local volatility function 【年份(必填)】1998 【全文链接或数据库名称(选填)】Journal of Compu ...2014-10-27 18:21 - Bumboo - 文献求助专区

pricing exotic option using local volatility.pdf
2 个回复 - 1301 次查看 pricing exotic option using local volatility.pdf2013-8-26 16:43 - zhxinlei - CFA、CVA、FRM等金融考证论坛

Unstable volatility: the break preserving local linear
0 个回复 - 1086 次查看 Unstable volatility: the break preserving local linear estimator2011-3-17 11:42 - cop207 - 金融学（理论版）

急！！！关于Dupire equation for local volatility models of Calls on futures
5 个回复 - 3247 次查看 Dupire equation for local volatility models of Calls on futures 与一般的Dupire equation会有什么不同吗，老师给的作业题在写Calls on futures 的Dupire equation，想了两周都没想出入手点，给点线索吧。谢谢大家 ...2011-1-25 21:33 - game007 - 爱问频道

Bootstrapping realized volatility and realized beta under a local Gaussiani...
0 个回复 - 933 次查看 2004-11-22 13:15 - 供应链992 - Forum

Bootstrapping realized volatility and realized beta under a local Gaussiani...
0 个回复 - 297 次查看 2004-11-22 09:08 - 信息论与编码425 - Forum

Testing the local volatility assumption: a statistical approach-检验局部波动率假设:一种统计方法
0 个回复 - 541 次查看 2004-11-8 23:00 - 财务指标分析833 - Forum

Unstable volatility functions: the break preserving local linear estimator-...
0 个回复 - 328 次查看 2004-10-21 18:02 - 金融体制947 - Forum

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