Filtering and Mazimum Likelihood Methods in the Calibration of Some Stochastic Volatility Models of Mathematical Finance

摘要：

In this paper we present a formulation of the calibration problem for the Heston stochastic volatility model and for one of its generalizations based on filtering and maximum likelihood methods. Numerical algorithms are developed to solve the problem posed. Synthetic and real data are used to validate the formulation of the calibration problem and its numerical solution.

关键词： Heston stochastic volatility model multiscale stochastic volatility models filtering theory calibration problem option pricing

作者: L. Fatone F.Mariani M.C. Recchioni F. Zirilli

作者单位: Dipartimento di Matematica e Informatica, Universita di Camerino, Via Madonna delle Carceri 9, 62032 CERI- Centro di Ricerca Previsione e Controllo dei Rischi Geologici, Universita di Roma La Sapienz Dipartimento di Scienze Sociali D. Serrani, Universita Politecnica delle Marche, Piazzale Martelli Dipartimento di Matematica G. Castelnuovo, Universita di Roma La Sapienza, Piazzale Aldo Moro

会议类型: 国际会议

会议名称: The First World Congress on Global Optimization in Engineering & Science(第一届工程与科学全局优化国际会议 WCGO2009)

会议地点: 长沙

会议语种:英文

页码: 45-53

在线出版日期: 2009-06-01（万方平台首次上网日期，不代表论文的发表时间）