# Questions tagged [calibration]

The tag has no usage guidance.

234 questions
Filter by
Sorted by
Tagged with
74 views

### LSV leverage function calibration

Introduction I try to understand how to calibrate an Heston-LSV model, and I have trouble with how to use Gyongy theorem. Here is the model (1): \begin{align} dS_t &= rS_t dt + \sigma_{\text{LSV}}(...
• 71
1 vote
58 views

### Issues with Calibrating Intensity Functions in Illiquid and High-Volatility Markets for Market Making

I am calibrating intensity functions for bid and ask spreads using the Guéant–Lehalle–Fernandez-Tapia model from Olivier Guéant's "Optimal Market Making" paper. However, I'm facing issues ...
• 11
32 views

...
1 vote
81 views

### Calibrating CIR to bond prices

Consider the Hull-White model - $$dr_t = (\theta_t - kr_t)dt + \sigma_tdw_t$$ We can/have to calibrate $\theta_t$ to the current bond prices $P(0,t)$ and make it consistent with the HJM framework. For ...
95 views

### swap curve calibration with interpolation using newton-like method

suppose 2 swap market quotes for 1Y and 2Y and that swap payments occur semi-annually. calibrating / obtaining the discount factors means finding 4 unknowns / discount factors that reproduce the ...
61 views

### Reducing possible models count for calibration in ARFIMA-GARCH models

I have the question connected with ARFIMA-GARCH models. I have a time series for which I want to calibrate best model (p,q)-(P, Q) (via BIC) with $p,q <= 4, P,Q <=2$. GARCH part can be "...
• 243
43 views

### Heston model calibration to option prices and implied volatility

I hope that you are having a great day, I am trying to write a research paper on the Heston model deep calibration. I noticed during my literature review that the most common approach is to calibrate ...
• 45
50 views

### Parameters bounds for Heston model calibration

Still working on my master thesis and I have a question I have been looking at for some time but can't find a good reason. I am looking to follow the steps of Horvath et al. (2019) in order to ...
• 45
52 views

### Understanding simple calibration of Hull-White process

I've encountered issues with understanding how to calibrate the Hull-White model without Quantlib package. I want to calibrate this model for the time series of short-rate ($r_1, \cdots,r_n$). I will ...
1 vote
55 views

• 195
244 views

### Useful methods to avoid degenerate calibration? (Heston model in my case)

I have implemented a Levenberg-Marquardt(LM) based method to calibrate the Heston model against market data by minimizing a weighted $L^2$-norm of differences of market vs model prices. Pretty ...
1 vote
173 views

### Implied volatility from local volatility versus market implied volatility

Does the local volatility flattens the (existing not forward) skew faster than what we observed in the implied volatility surface? The process is: Get market implied volatilities Fit a IV model (i.e. ...
• 11
1 vote