This paper deals with a variation of the Heston hybrid model with stochastic interest rate illustrated in Grzelak and Oosterlee 2011. This variation has the advantage of being analytically tractable while preserving the good features of the Heston hybrid model in in Grzelak and Oosterlee 2011....

We obtain the link between the Laplace transform of the price process and that of the volatility process in the context of a Brownian semi-martingale model. Relying on this result, we build a new nonparametric estimator of the instantaneous volatility which efficiently reconstructs the...

We present a hybrid Heston model with a local stochastic volatility to describe government bond yield dynamics. The model is analytically tractable and, therefore, can be efficiently estimated using the maximum likelihood approach. Twofold is the model contribution. First, it captures changes in...

In this paper we introduce a calibration procedure suitable for the validation of agent based models. Starting from the well-known financial model of Brock and Hommes 1998, we show how an appropriate calibration technique makes the model able to describe price time series. In particular, we...