Pages that link to "Item:Q1694942"
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The following pages link to Full and fast calibration of the Heston stochastic volatility model (Q1694942):
Displaying 39 items.
- A fast calibrating volatility model for option pricing (Q319158) (← links)
- On calibration of stochastic and fractional stochastic volatility models (Q323465) (← links)
- Parameter identification in financial market models with a feasible point SQP algorithm (Q429503) (← links)
- DG framework for pricing European options under one-factor stochastic volatility models (Q724549) (← links)
- A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean (Q829337) (← links)
- Calibration of GARCH models using concurrent accelerated random search (Q905332) (← links)
- A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics (Q1000328) (← links)
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model (Q1633313) (← links)
- The Heston stochastic volatility model with piecewise constant parameters -- efficient calibration and pricing of window barrier options (Q1643855) (← links)
- On the calibration of the 3/2 model (Q1734372) (← links)
- A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs (Q1998126) (← links)
- A neural network-based framework for financial model calibration (Q2022121) (← links)
- Fast reconstruction of time-dependent market volatility for European options (Q2027727) (← links)
- Pricing discretely-monitored double barrier options with small probabilities of execution (Q2029343) (← links)
- The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications (Q2030533) (← links)
- On the application of Wishart process to the pricing of equity derivatives: the multi-asset case (Q2051154) (← links)
- Economic scenario generators: a risk management tool for insurance (Q2094843) (← links)
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
- Stochastic pricing formulation for hybrid equity warrants (Q2129745) (← links)
- Heston model: the variance swap calibration (Q2247916) (← links)
- Quantization meets Fourier: a new technology for pricing options (Q2288923) (← links)
- Calibration and simulation of Heston model (Q2364763) (← links)
- Computational technique for simulating variable-order fractional Heston model with application in US stock market (Q2418460) (← links)
- An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids (Q2632499) (← links)
- Efficient calibration of the Hull White model (Q2864616) (← links)
- Fast Ninomiya–Victoir calibration of the double-mean-reverting model (Q2871434) (← links)
- Calibrating the exponential Ornstein–Uhlenbeck multiscale stochastic volatility model (Q2879040) (← links)
- Robust Numerical Calibration for Implied Volatility Expansion Models (Q2953945) (← links)
- A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING (Q3225031) (← links)
- Calibration and advanced simulation schemes for the Wishart stochastic volatility model (Q5234328) (← links)
- A systematic and efficient simulation scheme for the Greeks of financial derivatives (Q5234352) (← links)
- VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS (Q5377003) (← links)
- Impact of rough stochastic volatility models on long-term life insurance pricing (Q6173889) (← links)
- INFORMATION-THEORETIC ANALYSIS OF STOCHASTIC VOLATILITY MODELS (Q6203301) (← links)
- Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model (Q6498604) (← links)
- Fast calibration of two-factor models for energy option pricing (Q6579570) (← links)
- A gradient-based calibration method for the Heston model (Q6625126) (← links)
- Approximation formulas for short-maturity near-the-money implied volatilities in the Heston and SABR models (Q6647962) (← links)
- Pricing exchange options under hybrid stochastic volatility and interest rate models (Q6653510) (← links)
