Pierre Henry-Labordère
Pierre Henry-Labordère is the global head of quantitative research at Natixis in Paris.
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Articles by Pierre Henry-Labordère
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,…