I'd be very interested in reading your paper. Please send it to tourkine@yahoo.com.

I would be grateful to you as well. tourkine@yahoo.comAleksei.

Elan,This sounds very interesting. Is the paper that you mention available anywhere? I am very keen to have a look at it.Alexei

Gusak,The article looks very interesting. Could you please send it to tourkine@yahoo.com?Many thanksAlexei

Imagine I am trying to calibrate my Heston model by fitting to the moments of the implied distribution. Should that work? Are there any objections to this method? Any natural pitfalls?What constraints should I impose on extrapolation method?Any advice is welcome.Many thanks in advanceAlexei

Dear All,I am looking for a good (and fast) approximation for ATM prices in Heston model. Are there one better than the one given by the Edgeworth expansion of the exact pricing density? It seems to me that the regular vol-vol expansion gives exactly this.Thank youAlexei

<t>NumberSix,I am thinking again about the way you want model to the effect of non-stationary variable by introducing a markovian process of switching regimes. I've got the impression the non-stationarity is hidden in the transitory regime of the markov process to its stationary state. In some sense...

<t>Thank you very much for you answer and for the papers. As far as I understand your "model" a limited set of regimes gives a sort of approximation of the real density. This approximation is like plotting an histogram over a continuous density. Do you expect the calibration paremeters to be stable ...

<t>NumberSix,Thank you for reply. I agree with you that I have too much simplfied the model. But ultimately my point was that a mixture of the (probably complex and well suited0 models may not solve all the problems about conditionals. To my knowledge Heston model with jumps in the underlying gives ...

<t>NumberSix, I have some questions about your article in wilmott.If I understand right your switching-regimes idea is roughly about how to construct and calibrate a stationary complex model as a mix of different simple models.Let's take a "Body" example from your article. If we simplify it a little...

Can you give us a hint, please?

<t>Hi Nonius, I am currently working on a model that is very similar to the model you were talking about. At least ZCs look like exp(<A,X> + B). where X is an affine process (unfortunately CIR and OU components a mixed...)Before coming to implementation I feel a bit afraid of pricing long swaptions....

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<t>Thank you for reply,To my intuition the relation between vvol and the smile convexity holds in general case. At least it holds for both SABR and Heston models.For some other models one can check I through a simple perturbation analysis. The idea was to get some information about (unknown) volatil...

<t>Hi all,To my knowledge in most of stochastic volatility models the ATM smile convexity is mainly explained by vvol (volatility of volatilty). On the other hand the variance of the ATM vol is also (quite often) closely related to vvol. Can anyone show a link (or even a vague relation) between the ...