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Joined: September 29th, 2015, 6:39 pm

Local Stochastic Volatility calibration

September 30th, 2015, 10:18 am

Hello everybody,Is anybody aware of a piece of code available out there for calibrating local stochastic volatility models. Preferably with heston as stochastic part, other also appreciated. Preferably for Matlab, VBA, R, others also appreciated. I am mainly interested in the part of the code that calibrates the leverage function (local volatility correction) using Fokker-Planck PDE.I would appreciate any help.Thank you very much.