Searched for: author:"van der Stoep, A.W."
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van der Stoep, A.W. (author)
A general purpose of mathematical models is to accurately mimic some observed phenomena in the real world. In financial engineering, for example, one aim is to reproduce market prices of financial contracts with the help of applied mathematics. In the Foreign Exchange (FX) market, the so-called implied volatility smile plays a key role in the...
doctoral thesis 2019
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van der Stoep, A.W. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
We present in a Monte Carlo simulation framework, a novel approach for the evaluation of hybrid local volatility [Risk, 1994, 7, 18–20], [Int. J. Theor. Appl. Finance, 1998, 1, 61–110] models. In particular, we consider the stochastic local volatility model—see e.g. Lipton et al. [Quant. Finance, 2014, 14, 1899–1922], Piterbarg [Risk, 2007,...
journal article 2017