The jumps in stock market volatility are found to be so active that this discredits many recently proposed stochastic … volatility models without jumps (Bollerslev et al (2008)). The most convincing evidence comes from recent nonparametric work … the dependence on past returns. In this paper, we incorporate a jump part into the stochastic volatility model with delay …

This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how …

This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how …

We analyze in detail calibration and pricing performed within the framework of local stochastic volatility LSV models … stochastic volatility models, providing answers (to the best of our knowledge), and present references for deeper understanding …

volatility models being an archetypal example due to the non-convexity of the objective function. In order to accelerate this … development and productionization.This paper describes the acceleration of stochastic volatility model calibration on multi …

the implications of a given stochastic discount factor model. Furthermore, a useful application to stochastic volatility …

We introduce a new method to price American-style options on underlying investments governed by stochastic volatility … (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the … distributions of volatility, given observed data. By constructing statistics summarizing information about these conditional …

) and volatility (Theorem 2) swaps for stochastic volatilities driven by the semi-Markov processes. We also discuss some … extensions of the obtained results such as local semi-Markov volatility, Dupire formula for the local semi-Markov volatility and …

such based on gradients) cannot be applied. We investigate two models: Heston's stochastic volatility model, and Bates …