The calibration of the Heston stochastic volatility model using filtering and maximum likelihood methods

MaRDI QIDQ3068487zbMATH OpenFDO

Authors Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli

Publication date 15 January 2011

Mathematics Subject Classification ID

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)

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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
• The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility
• Calibration and simulation of Heston model
• 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
• A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics
• Efficient calibration of the Hull White model
• 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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