Hi Lorenzo.

Thank you for kindly sharing your knowledge.

Best of luck in your future endeavours.

Hi Lorenzo, I can only imagine the effort it took. An incredible number of "practical knowledge nuggets" are disseminated throughout. Your take on these topics is really insightful and profound: I've learned a lot already and each time I delve into it again I manage to find something new. ...

Hi Lorenzo, Thank you for joining the thread and sharing your experience. But most of all, thank you for this book, which I find simply amazing.  Should you find some time to answer these follow-up questions, it would really help  Consider first a pure stoch vol model, calibrated either to the TS of...

Thank you Alan, That's definitely true and he introduces a discrete version of the model to better handle the issue of VIX derivatives. But omitting this particular point my question was whether what I am trying to do gives rise to an over-determined problem hence the calibration instabilities or wh...

I see thanks Gamal. I thought that where Hans Buehler passed, desks also used forward variance models although not necessarily ones à la Bergomi. So I guess I'm looking for those curious quants who tried the approach mentioned in my original post even though it is not used in production environment....

I am well aware of the paper/book, thank you. My question is more specific and does not involve Heston. Plus the Heston "Delta" is pretty vague IMO. Miminum variance Delta, simple partial derivative with respect to spot price? Also I guess it really depends on the calibration process. Anyw...

Hi Gamal, Billy7 You are right I was specifically referring to the toy model used in the book. The SV layer is a two-factor forward variance curve model as the one described in the book. Also I am particularly interested in calibrating the parameters of the SV layer by imposing the spot/ATMF vol dyn...

Hello everyone, In Chapter 12 of his excellent book Stochastic Volatility Modeling , Lorenzo Bergomi discusses the topic of local-stochastic volatility models (LSV).  As most of you are probably aware of, the idea is to get the best of both worlds out of   Local volatility (LV) .  [Pro] perfect fit ...

<t>MissHebe, this is not very clear indeed:1) "European-style" is by definition not exotic.2) Totally agree with frolloos, equity indices should give you what you want despite conventions being different (equity IVs are quoted by strike rather than by delta). Careful though because if you look at si...

Thanks Cuch, I'll keep that in mind for next time

<t>QuoteOriginally posted by: AntonioQuantuplet, thank you for your comment.Indeed, the power law seems to have nicer properties.As far as I have seen, though, if you take the SPX, for maturities not too small, the Heston function phi is also pretty good.PS: I know the remark on Page 14, as I am the...

<t>QuoteOriginally posted by: AntonioOne question though, why did you take this function phi and not the other function phi proposed in the paper?I tested both of these term structure functions [$]\phi(\theta_t)[$] some times ago, for the purpose of fitting full volatility surfaces. The "Heston-like...

<t>Cuch, not sure about the last identity, what about if [$]\rho=0[$], to me the relationship [$]\eta(1+\vert\rho\vert) \le 2[$] then implies [$]\eta \le 2[$].Yyang, I tried running an SSVI calibration on your data this morning. Because the [$]w(k,t)[$] numbers were so small (I guess), the fit was h...

<t>Yes sorry. I only used that expression because you used it first in one of your posts above, where you said that if your optimal solution is sensitive to p0 then ssvi is not robust.It is not necessarily ssvi which is "not robust", it is probably the manner in which you find the optimum (i.e. the ...

<t>Now that is a clearer picture of the situation, thanks. I'm curious as to where these discontinuities come from. Do you have any idea?Remember that when you test with random initial guesses, you do not directly test the robustness of the parametrisation (here ssvi), but also (and most of all) tha...