# Questions tagged [calibration]

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### paid work : model calibration e pricing product on a certain cds prices

I have to develop two topics: model calibrations and pricing product on certain CDS prices at certain deadlines of an already given stock, i've already had an excel example. It's a job that should be ...
65 views

### Estimating market price of interest rate risk under CIR model

My goal is to find the market price of risk associated with the interest rate under the CIR model whose stochastic differential equation under the physical measure is given: \begin{eqnarray}\label{...
1 vote
114 views

### Calibrate the SABR model to the implied volatility surface

I'm currently trying to calibrate the SABR model. The question I have is that when I consider papers and other websites I only come across cases where the SABR parameters are calibrated to the implied ...
1 vote
153 views

319 views

### Stochastic Volatility vs Vanna-Volga

I'm working on the calibration of the Heston Stochastic Volatility Model for some FX option data for my bachelor thesis and I was asked "Why should people use Heston instead of other simple ...
577 views

### calibration of a local volatility model

Generally speaking, when calibrating a local volatility model a la Dupire to European vanilla calls, should I use the numerically (PDE or Monte Carlo) solved price for the vanilla call in the cost ...
1 vote
82 views

### calibration of local volatility to

I'm looking to understand the practical details of calibrating local volatility to option prices for a range of different expiries using the Dupire local volatility equation. Would appreciate some ...
1 vote
96 views

### MatLab code does not work for Heston model calibration

I am trying to calibrate Heston model on some data and I have the following code. Code is supposed, after it reads the data, to give back 5 parameters. However, I get an empty answer from MatLab. Does ...
1 vote
301 views

### Heston Model Calibration with MatLab: model prices do not fall in the bid-ask range

I am currently implementing the MatLab code reported below for the calibration of Heston Model. The code seems fine and, by reading the paper where I took the code, I was able to calibrate and price ...
1 vote
254 views

### Calibrate Geometric Brownian Motion of trading volume time series

Let's say I'm modeling the trading volume of a stock price (e.g. Apple Inc.) to follow a Geometric Brownian Motion and I want to estimate the parameters (i.e. drift and volatility) using historical ...
1 vote
65 views

### Calibration when characteristic function is not known

The prices of the call and put options can be quickly calculated using many methods using the form of the characteristic function. But how to calibrate a model when we don't know the characteristic ...
1 vote
322 views

### Calibration Hull-White

This is more a conceptual question around calibration. My objective is to calibrate a 1-factor Hull White model, and my question relates to calibrating a and sigma (both constants) to swaptions. Let's ...
1 vote
465 views

### 1 Factor Hull And White Swaption Calibration

I'm trying to calibrate a Hull and White model with constant volatility, mean reversion and theta such that the model can reproduce the initial Term Structure. I'm using this python code adapted from &...
111 views

### Explicit expression for option prices in SABR?

I am trying to get a grip of the current state of research regarding option pricing in the SABR model. Am I correct in that, so far, there is no known general formula for the option price in the SABR ...
1 vote
84 views

### Derivation of $u=e^{\sigma\sqrt{dt}}$ and $d=e^{-\sigma\sqrt{dt}}$

Anyone could provide me a proof of how, starting from $\frac{dS_T}{S_t}\sim \operatorname{N}(\mu dt,\sigma^2 dt)$ with $p:=\frac{e^{rdt}-d}{u-d}$, we can obtain the parameters $u$ and $d$ as from ...
403 views

### Hull-White Monte Carlo simulation - mean reversion function

Quite new to implementing Hull white model in Monte Carlo simulation, hope to get help for 1. how to get the function $\theta$ in the following formula (the function used to match initial term ...
80 views

### Carr-madan vs COS method vs other methods

Hey during calibration we have to calculate option prices very fast. The most popular method was developed by Carr-Madan, but COS method also is very popular. The problem is for example with Variance ...
1 vote
182 views

### Heston model on currency

We could have the formula for Heston model for currency as (under the Risk-neutral measure for $r_d$) - \$dS_t = \left( r_d - r_f ...
895 views

### Forward skew generated by Local Vol model

I'm digging into the properties of the Local Vol model and I become confused with statements made by authors in papers/textbooks (without explanations) like, "The forward skew in local vol model ...
81 views

### Two questions about COS method

Hey I have some problem with COS method. Here is the paper of Fang and Oosterlee https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.466.267&rep=rep1&type=pdf Why in table 1.1 they ...
1 vote
52 views

### Calibration data selection - basic rules

Hey I found following rules for selecting data for calibration (source: "Kou Jump Diffusion Model: An Application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 Index Options" by ...