We propose a general protocol for calibration and validation of complex simulation models by an approach based on …

calibration, the Werker-Brenner approach, and the history-friendly approach — and a set of (as yet) unresolved issues for …

comparison is the choice of the fastest method for the calibration of stochastic volatility models, e.g. Heston, Bates, Barndorff …-Nielsen-Shephard models or Levy models with stochastic time. We show that using additional cache technique makes the calibration with the … direct integration method at least seven times faster than the calibration with the fractional FFT method. …

. Therefore, we apply derivative-free techniques and find that they stabilize the calibration. Furthermore, we identify auspicious … volatility parametrizations determining the Cheyette model. In combination with the established calibration techniques the …

the fit of the calibration results is to compare the sample path and the real prices. On the other hand, we match the …