Article by: Julien Guyon and Pierre Henry-Labordère
Published by: risk.net/risk-magazine
Date: Jan 2012
“Following previous work on the calibration of multifactor 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, extends to hybrid models, where interest rates are also stochastic. They illustrate the efficiency of their algorithm on hybrid local stochastic volatility models.”
Full article (PDF): Link