Using a data set of vanilla options on the major indexes we investigate the calibration properties of several multifactor stochastic volatility models by adopting the Fast Fourier Transform as the pricing methodology. We study the impact of the penalizing function on the calibration performance...

We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space. We provide semi-closed-form solutions for the pricing of caps and floors. We then...

In this paper we develop a novel market model where asset variances-covariances evolve stochastically. In addition shocks on asset return dynamics are assumed to be linearly correlated with shocks driving the variance-covariance matrix.Analytical tractability is preserved since the model is...

This paper provides a result on moment non-explosions for a stock following a Wishart multidimensional stochastic volatility dynamic or a Wishart affine stochastic correlation dynamic when the parameter values satisfy certain constraints. By reformulating the stock dynamic in terms of the...