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Pitergargs new stochastic vol model
Hi, I am planning to implement Pitergargs term structure stochastic vol model base on his paper Time to Smile. I wonder if anybody has implemented the model? How is the calibration speed of this model? Lets say, for a 5 years fx deal, how long will it take? Any advice and suggestion with respect this model are greatly appreciated.Thank you guys
Pitergargs new stochastic vol model
Yes, we implemented the model. Speed of calibration depends on your implementation 
To give you an idea: Calibrating a model for the next 50 yearstakes roughly 5 minutes. The homogenization in the model is a bit tricky, see a previous thread.
To give you an idea: Calibrating a model for the next 50 yearstakes roughly 5 minutes. The homogenization in the model is a bit tricky, see a previous thread. Pitergargs new stochastic vol model
Pls, can you upload a copy of this paper.
Pitergargs new stochastic vol model
Here is the paper.
Last edited by jaccker on May 11th, 2006, 10:00 pm, edited 1 time in total.