Yup..if P is convex wrt to Vol then d2P/dVol2 > 0 ie dVega/dVol >0

yeah it was irrelevant, just wondering why the term vega convexity stuck (I always use it too)

why do we always talk about vega convexity when it's price that's a convex function of vol?

<t>Stoch vol + local + jump (but jump effect is small). Conditional variance constrained to europeans. The whole calibration process is very cpu intensive. Most first generation market prices can be reached with a good set of heuristics which are inputs to the calibration. The full process is used t...

<t>Personally I find Heston not suitable for fx exotics in the presence of large skew (particularly jpy right now). The interbank exotics market is reasonably liquid and tight so you needn't be hedging all your path dependent risk in a market making book with strips of risk-reversals or flies. I use...