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log normal mixture implied vol
Hello, I am trying to implement the implied vol model given in " lognormal-mixture dynamics and calibration to volatility smiles and skews", Damiano Brigo, Gianvittorio Mauri & Fabio MercurioAnyone could share his/her experience on this issue? It would be great if someone would shed the light on, e.g.1. pros & cons? I mean, I have a SVI calibrater and a Sabr calibrater, is there any reason I would like to switch to this model?2. If I use this model, any hints on calibration? like, how many mixturers you would use (the paper said basically 2 or 3)?Cheers