Morten Karlsmark

University of Copenhagen - Department of Mathematical Sciences

Ph.D. student

Universitetsparken 5

Copenhagen Ø, DK-2100

Denmark

SCHOLARLY PAPERS

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Scholarly Papers (1)

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Fast Ninomiya-Victoir Calibration of the Double-Mean-Reverting Model

Quantitative Finance, Vol. 13, No. 11, pp.1813-1829, 2013
Number of pages: 38 Posted: 02 Feb 2013 Last Revised: 13 Jan 2014
Christian Bayer, Jim Gatheral and Morten Karlsmark
Weierstras Institute for Applied Analysis and Stochastics (WIAS), CUNY Baruch College and University of Copenhagen - Department of Mathematical Sciences
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Abstract:

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Stochastic volatility, double mean reverting, Cubature, second order Monte Carlo schemes