network profile
| bio | website | |
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| location | ||
| age | ||
| visits | member for | 4 months |
| seen | Mar 24 at 17:12 | |
| stats | profile views | 5 |
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Mar 21 |
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Matlab - Differences between rng and rand Thanks, I think I was confused with the docs, thanks for pointing things out. |
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Mar 21 |
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Matlab - Differences between rng and rand Ah...so I just so happened to use an integral value as a seed when using rand, but I guess it is completely wrong! Sorry, MATLAB noob here :) |
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Feb 8 |
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Other means of calibrating Heston models It is really difficult to implement I think, the best way is probably just through numerical integration I guess, but thanks for the answer |
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Jan 22 |
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Other means of calibrating Heston models That link is dead but here is a working one: mpra.ub.uni-muenchen.de/2975/1/MPRA_paper_2975.pdf Thanks for sharing! |
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Jan 22 |
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Avoiding negative volatility when applying Heston model Thanks for the answer but why you can't have negative vol when, say, in Heston model, vol is just a SDE? |
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Jan 20 |
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What are the advantages/disadvantages of these approaches to deal with volatility surface? Thanks @Freddy! |
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Jan 20 |
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What are the advantages/disadvantages of these approaches to deal with volatility surface? Thanks @vonjd, I will do some readings on the book then. |
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Jan 20 |
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What are the advantages/disadvantages of these approaches to deal with volatility surface? Thanks a lot for your response, I think your response is definitely very practical and is very helpful from a practitioner stand of view. And could you kindly elaborate on why the parametrized vol is useful for VIX options? Is it because of the easiness in computation? However, isn't parametrization generate arbitrage-free surface only under certain conditions? Thanks for your clarification |
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Jan 20 |
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What are the advantages/disadvantages of these approaches to deal with volatility surface? Thanks for the very detailed and summarized answer, truly appreciate your help! |
