In this article, we deal with calibration and Monte Carlo simulation of the Wishart stochastic volatility model. Despite the analytical tractability of the considered model, being of affine type, the implementation of Wishart-based stochastic volatility models poses non-trivial challenges from a numerical point of view. The goal of this article is to overcome these problems providing efficient numerical schemes for Monte Carlo simulations. Moreover, a fast and accurate calibration procedure is proposed.

Calibration and advanced simulation schemes for the Wishart stochastic volatility model

Marazzina, D.
2019-01-01

Abstract

In this article, we deal with calibration and Monte Carlo simulation of the Wishart stochastic volatility model. Despite the analytical tractability of the considered model, being of affine type, the implementation of Wishart-based stochastic volatility models poses non-trivial challenges from a numerical point of view. The goal of this article is to overcome these problems providing efficient numerical schemes for Monte Carlo simulations. Moreover, a fast and accurate calibration procedure is proposed.
2019
Calibration; Efficient numerical simulation scheme; Monte Carlo; Wishart process; Finance; Economics, Econometrics and Finance (all)2001 Economics, Econometrics and Finance (miscellaneous)
File in questo prodotto:
File Dimensione Formato  
Calibration and advanced simulation schemes for the Wishart Stochastic Volatility model.pdf

accesso aperto

Descrizione: Articolo principale
: Pre-Print (o Pre-Refereeing)
Dimensione 838.22 kB
Formato Adobe PDF
838.22 kB Adobe PDF Visualizza/Apri
Calibration and advanced simulation schemes for the Wishart Stochastic Volatility model.pdf

Open Access dal 12/07/2020

Descrizione: Articolo principale
: Post-Print (DRAFT o Author’s Accepted Manuscript-AAM)
Dimensione 977.27 kB
Formato Adobe PDF
977.27 kB Adobe PDF Visualizza/Apri
PRINT_VERSION.pdf

Accesso riservato

: Publisher’s version
Dimensione 998.4 kB
Formato Adobe PDF
998.4 kB Adobe PDF   Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11311/1076622
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 4
  • ???jsp.display-item.citation.isi??? 3
social impact