On Optimization Techniques for Calibration of Stochastic Volatility Models

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F14%3A43923420" target="_blank" >RIV/49777513:23520/14:43923420 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

On Optimization Techniques for Calibration of Stochastic Volatility Models

Popis výsledku v původním jazyce

The aim of this paper is to study stochastic volatility (SV) models and their calibration to real market data. This task is formulated as the optimization problem and several optimization techniques are compared and used in order to minimize the difference between the observed market prices and the model prices. At first we demonstrate the complexity of the calibration process on the popular Heston model and we show how well the model can fit a particular set of market prices. This is ensured by using adeterministic grid which eliminates the initial guess sensitivity specific to this problem. The same level of errors can be reached by employing optimization techniques introduced in the paper, while also preserving time efficiency. We further apply thesame calibration procedures to the recent fractional stochastic volatility model, which is a jump-diffusion model of market dynamics with approximative fractional volatility. The novelty of this paper is especially in showing how the pro

Název v anglickém jazyce

On Optimization Techniques for Calibration of Stochastic Volatility Models

Popis výsledku anglicky

The aim of this paper is to study stochastic volatility (SV) models and their calibration to real market data. This task is formulated as the optimization problem and several optimization techniques are compared and used in order to minimize the difference between the observed market prices and the model prices. At first we demonstrate the complexity of the calibration process on the popular Heston model and we show how well the model can fit a particular set of market prices. This is ensured by using adeterministic grid which eliminates the initial guess sensitivity specific to this problem. The same level of errors can be reached by employing optimization techniques introduced in the paper, while also preserving time efficiency. We further apply thesame calibration procedures to the recent fractional stochastic volatility model, which is a jump-diffusion model of market dynamics with approximative fractional volatility. The novelty of this paper is especially in showing how the pro

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA14-11559S" target="_blank" >GA14-11559S: Analýza frakcionálních modelů stochastické volatility a jejich implementace v gridu</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Applied Numerical Mathematics and Scientific Computation

ISBN

978-1-61804-253-8

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

34-40

Název nakladatele

Europment

Místo vydání

Athens

Místo konání akce

Athens, Greece

Datum konání akce

28. 11. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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