three popular stochastic volatility models (Heston, 1993; Bates, 1996; Heston and Nandi, 2'007, in addition to the …

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 …

This paper addresses several theoretical and practical issues in option pricing and implied volatility calibration in a … volatility term structure when the Hurst exponent is not 0.5, and also that one-year implied volatility is independent of Hurst … exponent and equivalent to fractional volatility. Building on these observations, we introduce a novel 8-parameter fractional …

volatility models. Our method is based on a novel application of the exponential measure change in Palmowski & Rolski (2002 … stochastic volatility models with non-zero correlations, namely the Heston (1993), 3/2, and a special case of the α …-Hypergeometric stochastic volatility models recently proposed by Da Fonseca & Martini (2016). Then, we combine our method with a stochastic time …

In this article we propose an efficient Monte Carlo scheme for simulating the stochastic volatility model of Heston … (1993) enhanced by a non-parametric local volatility component. This hybrid model combines the main advantages of the Heston … model and the local volatility model introduced by Dupire (1994) and Derman & Kani (1998). In particular, the additional …

determines an increase of the claim's price. In particular, we are interested in evaluating the CVA in stochastic volatility …

systematically with the volatility of stock returns. We allow for correlation between stock returns and their volatility (so …

construct the whole implied volatility surface and use the explicit constructions of calibrated (jump-) diffusions, available in …

data. In order for the Black-Scholes implied volatility surface to exhibit the empirically observed skew or smile, a … stochastic volatility model can be used to compute the option greeks. Because the European price under many stochastic volatility … explores three parallelization approaches for calibrating stochastic volatility models deployed on a multicore CPU cluster. The …