We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in … particular the ad hoc interpolation of the volatility surface. To achieve this, we parametrize the leverage function by a family … be seen in the context of neural SDEs and (causal) generative adversarial networks: we generate volatility surfaces by …

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We … consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the … variance swap can be used to hedge against the volatility risk. In the second problem, only the bank account and the stock can …

this paper, we consider a general class of stochastic volatility models written in forward variance form. We also deal with … volatility model with a Vasicek interest rate model. …

implied volatility and compare the spline collocation results with those obtained through arbitrage-free interpolation …

are restricted in order to preserve the drift and the volatility of the project-value process that it modifies. By …

extension to stochastic volatility, while using option data for Apple (AAPL) and Google (GOOG). We find that recalibrating a …

Inspired by the article Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model … for the Heston model, which are based on exact simulation of the underlying volatility process. Both for an Euler- and a … Feller index of the volatility process. In our analysis, we also observed the usual trade off between the smoothness …

were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results …. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier …