Serving the Quantitative Finance Community

Variance Gamma calibration

Post Reply
 
User avatar
hoare
Topic Author
Posts: 0
Joined: December 7th, 2004, 7:00 pm

Variance Gamma calibration

February 19th, 2005, 4:41 pm

Hi, who suggest me some online references about Variance Gamma model calibration?Thanks...
Top
 
User avatar
hoare
Topic Author
Posts: 0
Joined: December 7th, 2004, 7:00 pm

Variance Gamma calibration

February 21st, 2005, 3:11 pm

no one?
Last edited by hoare on March 7th, 2005, 11:00 pm, edited 1 time in total.
Top
 
User avatar
hoare
Topic Author
Posts: 0
Joined: December 7th, 2004, 7:00 pm

Variance Gamma calibration

February 22nd, 2005, 10:33 am

I can't believe that in this forum rich of specialist no one have a suggestion for my question...Always i received a precious help from experts in this forum...i don't understand why there is only silence!
Top
 
User avatar
yomi
Posts: 2
Joined: July 14th, 2002, 3:00 am

Variance Gamma calibration

February 22nd, 2005, 10:39 am

Check out these papers:http://www.kuleuven.ac.be/ucs/Technical ... Slides.pdf
Top
 
User avatar
hoare
Topic Author
Posts: 0
Joined: December 7th, 2004, 7:00 pm

Variance Gamma calibration

February 22nd, 2005, 1:48 pm

Thank you, but I want to know if the procedure (maximum lilkelihood estimation) in the paper "Variance Gamma process and option pricing" at page 91 is a good way...In effect the problem is that i never done a calibration, so i'm looking for an explanation on how it can be made in a right way...
Last edited by hoare on February 21st, 2005, 11:00 pm, edited 1 time in total.
Top
 
User avatar
Val
Posts: 23
Joined: June 5th, 2002, 12:51 pm

Variance Gamma calibration

February 22nd, 2005, 7:09 pm

Probably you will find some insights ondbquant site
Top
 
User avatar
mattmclee
Posts: 1
Joined: February 24th, 2006, 6:41 am

Variance Gamma calibration

March 4th, 2006, 3:38 am

Hi Hoare,I published a paper with the topic of "An Empirical Test of the Variance Gamma Option Pricing Model" in Pacific-Basin Finance Journal. Amsterdam, The Netherlands, Elsevier Science B.V., 10(3): 267-285, in year 2002. In the papaer, I estimated the parameters by using MLE method, the result is quite positive, you may take a look.The paper can be downloaded from: Variance Gamma Options Pricing ModelShould you have any question, please feel free to contact me.Best regards,Matthew MC LEE
Last edited by mattmclee on March 3rd, 2006, 11:00 pm, edited 1 time in total.
Top
 
User avatar
wim
Posts: 0
Joined: March 27th, 2003, 12:31 pm

Variance Gamma calibration

March 8th, 2006, 7:47 pm

We have done a study on VG calibartion on CDSs and calibration of a multivariate VG model on vol surfaces; see my website
Top
 
User avatar
Errrb
Posts: 0
Joined: December 17th, 2002, 4:18 pm

Variance Gamma calibration

March 8th, 2006, 8:36 pm

You might also take a look at bloomberg function SKEW, which allows to extract results of calibration for Equity and Index options
Top
 
User avatar
LiZhou
Posts: 0
Joined: June 7th, 2009, 5:32 pm

Variance Gamma calibration

June 22nd, 2009, 3:08 pm

Fiorani, Luciano and Semeraro provide a detailed description of their calibration of variance gamma parameters in the credit market. They work with a structural model under variance gamma and fit the VG parameters using 18,700 credit default swap spreads on 224 companies. The paper is very detailed in the description of the data used and procedure followed, it is a good reference on the topic. Single and Joint Default in a Structural Model with Purely Discontinuous Assets
Top
© All material, including contents and design, copyright Wilmott Electronic Media Limited | Privacy | About | Contact us