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 …

interdependence of cities and the world economy in a climate policy context. Based on calibration data for 74 major OECD …

are three themes: calibration viewed as estimation subject to external constraints, piece meal vs. system-wide estimation …

for micro simulation such as the choice of estimation criteria, calibration to benchmarks and model validation. Some of …

Within this article, a generalized calibration approach is presented, which provides coherent and efficient estimates … non-negligible variances. In addition, the presented generalized calibration approach allows the use of box …-constraints for the calibration weights in order to avoid an inappropriate high variation of the resulting weights. Furthermore …

Calibration of the Nelson-Siegel (NS) model to adjust to sovereign yield curves has been found to be problematic since … problems are often disregarded in the Colombian market, enough importance is not being given to the calibration process. This …