Julien Guyon

Julien Guyon is a professor of applied mathematics at École des ponts ParisTech

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Articles by Julien Guyon

Being particular about calibration

Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method,…

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