标题： 局部波动率模型与随机利率的联合校准使用半鞅最优运输 显示英文标题

标题： Joint Calibration of Local Volatility Models with Stochastic Interest Rates using Semimartingale Optimal Transport

摘要： 我们开发并实现了一种非参数方法，用于利用半鞅最优运输对局部波动率模型和相关随机短期利率模型进行联合精确校准。 该方法依赖于Joseph、Loeper和Obloj在2023年建立的对偶性结果，并联合校准整个权益-利率动态。 它采用一种迭代方法，从参数模型开始，并尽量保持接近该模型，直到获得完美的校准。 我们通过使用欧洲SPX期权和欧洲利率上限期权的市场数据来展示我们方法的性能。 最后，我们将联合校准方法与顺序校准方法进行比较，在顺序校准方法中，首先校准短期利率模型并将其冻结。 显示英文摘要

摘要： We develop and implement a non-parametric method for joint exact calibration of a local volatility model and a correlated stochastic short rate model using semimartingale optimal transport. The method relies on the duality results established in Joseph, Loeper, and Obloj, 2023 and jointly calibrates the whole equity-rate dynamics. It uses an iterative approach which starts with a parametric model and tries to stay close to it, until a perfect calibration is obtained. We demonstrate the performance of our approach on market data using European SPX options and European cap interest rate options. Finally, we compare the joint calibration approach with the sequential calibration, in which the short rate model is calibrated first and frozen.