Stochastic Knothe–Rosenblatt: Light-speed Calibration of Stochastic Local Volatility Models

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Highly relevant for quantitative researchers and traders dealing with exotic derivatives. The 'light-speed' calibration allows for real-time or near-real-time pricing and hedging of complex products like autocallables and cliquets, which are sensitive to volatility dynamics.

The theoretical framework involves advanced optimal transport and martingale theory. However, the numerical implementation via the Martingale Sinkhorn algorithm is described as simple and robust, reducing the barrier to entry for implementation compared to solving McKean-Vlasov equations directly.

The paper provides detailed theoretical foundations, algorithmic steps (Algorithm 1), and specific parameter tables for benchmarking. It mentions using QuantLib for comparison and provides hardware specifications. However, no direct code repository link is provided in the text.