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- W3124056361 abstract "Following closely the construction of the Schrodinger bridge, we build a new class of Stochastic Volatility Models exactly calibrated to market instruments such as for example Vanillas, options on realized variance or VIX options. These models differ strongly from the well-known local stochastic volatility models, in particular the instantaneous volatility-of-volatility of the associated naked SVMs is not modified, once calibrated to market instruments. They can be interpreted as a martingale version of the Schrodinger bridge. The numerical calibration is performed using a dynamic-like version of the Sinkhorn algorithm. We finally highlight a striking relation with Dyson non-colliding Brownian motions." @default.
- W3124056361 created "2021-02-01" @default.
- W3124056361 creator A5069915038 @default.
- W3124056361 date "2019-04-01" @default.
- W3124056361 modified "2023-09-27" @default.
- W3124056361 title "From (Martingale) Schrodinger bridges to a new class of Stochastic Volatility Models" @default.
- W3124056361 hasPublicationYear "2019" @default.
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