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)
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11311/1076622
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