The calibration of the Heston stochastic volatility model using filtering and maximum likelihood methods
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Publication:3068487
zbMATH Open1203.91309MaRDI QIDQ3068487FDOQ3068487
Authors: Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli 
Publication date: 15 January 2011
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Point estimation (62F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) PDEs with randomness, stochastic partial differential equations (35R60)
Cited In (19)
- Filtering and identification of Heston's stochastic volatility model and its market risk
- Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE
- Accurate parameter estimation for coupled stochastic dynamics
- Calibration and simulation of Heston model
- The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility
- Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory
- Testing robustness in calibration of stochastic volatility models
- Efficient calibration of the Hull White model
- A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics
- An analytic approximation of the likelihood function for the Heston model volatility estimation problem
- Determining a stable relationship between hedge fund index HFRI-equity and S\&P 500 behaviour, using filtering and maximum likelihood
- On approximation of transition densities in calibration of 1-dimensional stochastic models of asset prices
- Sequential calibration of options
- On calibration of stochastic and fractional stochastic volatility models
- Full and fast calibration of the Heston stochastic volatility model
- A gradient-based calibration method for the Heston model
- Improved maximum likelihood estimation of Heston model and pricing efficiency test: Hong Kong Hang Seng index option
- A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING
- Portfolio optimization for assets with stochastic yields and stochastic volatility
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