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dc.contributor.authorTurinici, Gabriel
dc.date.accessioned2009-06-30T12:22:07Z
dc.date.available2009-06-30T12:22:07Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/565
dc.language.isoenen
dc.subjectimplied volatility
dc.subjectlocal volatility
dc.subjectcalibrationen
dc.subjectimplied variance
dc.subjectinstantaneous implied variance
dc.subjectinstantaneous local variance
dc.subjectadjoint
dc.subjectDupire formula
dc.subject.ddc519en
dc.titleCalibration of local volatility using the local and implied instantaneous varianceen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe document the calibration of the local volatility in terms of local and implied instantaneous variances; we first explore the theoretical properties of the method for a particular class of volatilities. We confirm the theoretical results through a numerical procedure which uses a Gauss-Newton style approximation of the Hessian in the framework of a sequential quadratic programming (SQP) approach. The procedure performs well on benchmarks from the literature and on FOREX data.en
dc.relation.isversionofjnlnameJournal of Computational Finance
dc.relation.isversionofjnlvol13
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2009
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00338114/en/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherIncisive Financial Publishing ltd
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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