# Full and fast calibration of the Heston stochastic volatility model

@article{Cui2017FullAF, title={Full and fast calibration of the Heston stochastic volatility model}, author={Yiran Cui and Sebastian Del Bano Rollin and Guido Germano}, journal={Eur. J. Oper. Res.}, year={2017}, volume={263}, pages={625-638} }

## 47 Citations

### Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient

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The main conclusion is that the analytical gradient-based calibration is highly competitive for the DDSVLMM, as it significantly limits the number of steps in the optimization algorithm while improving its accuracy.

### Fast reconstruction of time-dependent market volatility for European options

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A robust and fast numerical algorithm to reconstruct the implied volatility as a piecewise linear function of time from a set of market observations in the Black–Scholes world using a predictor–corrector technique due to the non-uniqueness of the volatility function minimizer.

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### Stochastic volatility models with applications in finance

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This thesis presents a novel hybrid model by combing the heuristic method Differentiation Evolution, and the gradient method Levenberg–Marquardt algorithm, which significantly accelerates the calibration process.

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The proposed calibration machinery appears to be extremely fast, in particular for a single expiry and multiple strikes, outperforming the state-of-the-art method the authors compare it with.

### On the Calibration of the 3/2 Model

- Computer ScienceEur. J. Oper. Res.
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A regularized calibration where the regularization point is obtained using “risk neutral” MCMC estimation of the model is proposed and found that this approach is particularly well suited for the calibration problem as it generates naturally a consistent damping matrix for the parameter estimates, in addition to being very fast.

### A systematic and efficient simulation scheme for the Greeks of financial derivatives

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This new method is applied to the Greeks of Asian options under two popular Lévy processes, i.e. Merton's jump-diffusion model and the variance-gamma process, and collateralized debt obligations under the Gaussian copula model, and outperform the finite-difference and likelihood ratio methods in terms of accuracy, variance, and computation time.

### An Adaptive Filon Quadrature for Stochastic Volatility Models

- Computer Science
- 2018

The valuation of European options under the Heston model (or any other stochastic volatility model where the characteristic function is analytically known) involves the computation of a Fourier…

### Parameter calibration of stochastic volatility Heston’s model: constrained optimization vs. differential evolution

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This paper calibrates through loss functions the parameters of Heston’s stochastic volatility model by using two different methods: minimizing a nonlinear objective function (a loss function) with…

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This paper presents a simple and general method to compute the covariance matrix of the state though a matrix Lyapunov differential equation, and discusses its numerical and analytical solutions.

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