<r>Hi Lapsi, did you have any chance to look at this ? thanks VQuoteOriginally posted by: LapsilagoHi,will try your parameters next week. Do you have some set of options to calibrate to? Then, I can post the time and the accuracy for my implementation in matlab.Have you tried to incoporate some non-...

<t>sorry forgot the params. here they are Model Parameters Floor Cap Calibration OutputStock Variance Initial Value 0.021 0.034 0.034Long-term mean (thetav) 0.010 0.102 0.095Speed of mean reversion (kappav) 0.3 7 0.958Volatility (sigmav) 0.01 2 0.685Equity Price-Vol Correlation (rho) -95.0% 0.0% -0....

<t>ok i managed to get the following params which fit reasonably the smile for expiry>=1yrs for 50% to 150% moneyness. but fitting is not good for OTM short maturities <1yrLapsi would be curious to see what you can get. ps: i had problems with Gauss Legendre with very short maturities. I am now usin...

<t>Hi ok i calibrated on the following implied vols of Spot 1261.074582 Strike \ Expiry (yrs) 0.219444444 0.977777778 3.047222222 5.072222222818.8375 0.399315 0.331387 0.302245 0.3018081007.8 0.295907 0.275474 0.264343 0.2729021133.775 0.230206 0.240936 0.241105 0.254911259.75 0.169948 0.208694 0.21...

<t>Hi i am doing that at work. I was trying to calibrate FTSIE, SPX and STOX50E. I was using around 4x8 options but do not remember now exactly what maturities.I can tell you during the week. I am doing the calibration in c++. I am focusing on Heston model. I have not used any nonlinear constraints....

<r>Hi yes i ve started looking at COS method and some quick implementation of the pricing algorith in Matlab looks very promising. i will definetely try that for the calibration too. Regarding the boundary constraints i am using a technique described in <URL url="http://labraj.uni-mb.si/images/c/cd/...

<t>Hi I am working on the Calibration of Heston via DE. I managed to get some reasonable fitting for 3 equity indicies, and a couple of single names for moneyness range 50% to 160%. I find that 200x50 (iterations x # of populations) is enough to get reasonable fitting. I also found that calibrating ...

<t>Ok today was a better day I finally managed to get some reasonable fitting. I prefer Differential Evolution because is very stable and reliable optimization routine. Stability is my primary goal in this exercise. It seems that 200 x 50 iterations, is good enough to give me finally some reasonably...

<r>Hi Alan, thanks for your reply. Actually i have tried to use the approximations proposed in "Closed Form Convexity and Cross-Convexity Adjustments for Heston Prices ", Drimus, <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1373127Although"><LINK_TEXT text="http://papers.ssrn.com/sol...

<r>Hi there, I am wondering if anyone has tried to calibrate the Heston's model using any of the approximations proposed for the implied vols or for the option prices?See for example 1) "A Decomposition Formula for Option Prices in the Heston Model and Applications to Option Pricing Approximation" <...

<r>Hi I am wondering if anyone has tried to price call options via numerical integration using a Jumpt to Default Stochastic Volatility model (Heston's type) similar to the one proposed by Carr and Wu in <URL url="http://www.math.nyu.edu/research/carrp/papers/pdf/cdseqjfe.pdfI"><LINK_TEXT text="http...

Hi there, i am looking for some literature on how to build a forecasting mortgage default model. I would like to take into use as inputs in the model the macro factors such us unemployment rate, gdp ... ThanksV

<t>Look at chapter 14 in Brigo & Mercurio, they use the G2++ which has the nice feature of the analytic formulas for the bond prices and other ir instruments. The bad news is that is that you may end up with negative rates since the model assumes a gaussian distribution for the short rates. It i...

<t>QuoteOriginally posted by: crmorcomIt is going to depend on the joint distribution of your factors and how/whether that matters for the instrument you are pricing.By assuming that (x1,x2) and (-x1,-x2) have equal weight, you are forcing (X1,X2) to be reflection symmetric. This is a very strong as...