Calibration of local‐stochastic volatility models by optimal transport I Guo, G Loeper, S Wang Mathematical Finance 32 (1), 46-77, 2022 | 23 | 2022 |
Joint modelling and calibration of SPX and VIX by optimal transport I Guo, G Loeper, J Obloj, S Wang SIAM Journal on Financial Mathematics 13 (1), 1-31, 2022 | 23 | 2022 |
Local volatility calibration by optimal transport I Guo, G Loeper, S Wang 2017 MATRIX Annals, 51-64, 2019 | 20* | 2019 |
Optimal transport for model calibration I Guo, G Loeper, J Obloj, S Wang Risk, 2022 | 3 | 2022 |
Volatility modelling and calibration by optimal transport S Wang Monash University, 2021 | | 2021 |