Having spent more time on "Why the rotation count algorithm works" rather than "The Little Heston Trap" it would seem the proofs provided apply only to the time-homogeneous case and so don't specifically accommodate for the subject of this thread - correct me if i'm wrong please

Regarding a numerical solution for the "effective volatility" parameter, in Remark 4.1 the author says that obtaining a solution is extremely fast. I'm wondering how fast is "extremely fast"?ThanksShamim

Thank you - a google search didnt bring up any hits for that title though - could you tell me where i can find it?ThanksShamim

Hi can any1 tell me whether this Risk paper by Leif Andersen and Jesper Andreasen is a "summary" of a journal article?ThanksShamim

Regarding a practical application of this paper - are the time-dependent parameters assumed to be piece-wise constant or more general functions of time?ThanksShamim

Regarding a practical application of this paper - are the time-dependent parameters assumed to be piece-wise constant or more general functions of time?ThanksShamim

Thanks for the heads up AND its freely available on the net

<t>Hi can anyone please tell me whether the following books:C++ for DummiesC++ Timesaving Techniques for Dummies are a solid starting point for someone who has had no exposure to programming? I'm only familiar with Matlab and i'd like to create a MEX file - any help would be appreciatedThanksShamim ...

<t>In "Efficient Calibration of Time-Changed Levy Models to Forward Implied Volatility Surfaces" by Stefan Kassberger & Hanno Schmidt the authors observe that forward implied volatilities are largely undetermined for a model that is calibrated only to vanilla options (they considered several mod...

<t>You've pointed out exactly what the idea lacks - financial interpretation - in fact, i read a paper a while ago "The Case for Time Homogeneity" by Philippe Henrotte where the author essentially says that if we move away from time homogeneity to obtain satisfactory results then we have probably fa...

<t>sorry about that - i mean for each maturity we would calibrate to the market skew and so introduce a term structure for the parameters involved being piecewise constant - rather than calibrate the entire surface with one parameter set - so for example in the SABR model we can calibrate to a speci...

<t>regarding the question of several minima for an objective function - wouldn't introducing time dependent parameters (for the heston model and its jump extentions) be a good way to "simplify" the calibration process as one would effectively calibrate 2 skews rather than calibrating one parameter s...

Thanks Alan was hoping for that kind of answer cause i dont have any practical experience

<t>Hi AlanI realize its a vague question - i'm trying to prove a result which i think i can show will hold for rho<0 and kappa>sqrt(0.5*exp(-pi))=0.147 so wanted to get an idea of whether the restriction is heavy (for equity in general). Maybe i should rephrase by asking if there is any relationship...

Hi Does anyone have insight into an appropriate range for kappa (rate of mean reversion) in the heston model - i dont think i've ever seen a paper with an example of kappa less than 1 - are values such as 0.21 realistic??Thanks