# Calibration of Local-Stochastic Volatility Models by Optimal Transport

@article{Guo2019CalibrationOL, title={Calibration of Local-Stochastic Volatility Models by Optimal Transport}, author={Ivan Guo and G. Loeper and Shiyi Wang}, journal={arXiv: Mathematical Finance}, year={2019} }

In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the classical constraints on marginal distributions at initial and final time, we optimise our cost function given the prices of a finite number of European options. We formulate the problem as a convex optimisation problem, for which we provide a dual formulation. Then we solve numerically the dual problem, which… Expand

#### 7 Citations

Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives

- Mathematics, Economics
- 2018

Joint Modelling and Calibration of SPX and VIX by Optimal Transport

- Computer Science, Economics
- 2020

Portfolio Optimization With a Prescribed Terminal Wealth Distribution

- Mathematics, Computer Science
- 2020

#### References

SHOWING 1-10 OF 49 REFERENCES

Path Dependent Optimal Transport and Model Calibration on Exotic Derivatives

- Mathematics, Economics
- 2018

The calibration of stochastic local-volatility models: An inverse problem perspective

- Mathematics, Computer Science
- Comput. Math. Appl.
- 2019

Inverting the Markovian projection, with an application to local stochastic volatility models

- Mathematics, Economics
- 2019