TY - GEN
T1 - On the calibration of stochastic volatility models
T2 - 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2014
AU - Zhai, Jia
AU - Cao, Yi
N1 - Publisher Copyright:
© 2014 IEEE.
PY - 2014/10/14
Y1 - 2014/10/14
N2 - We studied the application of gradient based optimization methods for calibrating stochastic volatility models. In this study, the algorithmic differentiation is proposed as a novel approach for Greeks computation. The 'payoff function independent' feature of algorithmic differentiation offers a unique solution cross distinct models. To this end, we derived, analysed and compared Monte Carlo estimators for computing the gradient of a certain payoff function using four different methods: algorithmic differentiation, Pathwise delta, likelihood ratio and finite differencing. We assessed the accuracy and efficiency of the four methods and their impacts into the optimisation algorithm. Numerical results are presented and discussed.
AB - We studied the application of gradient based optimization methods for calibrating stochastic volatility models. In this study, the algorithmic differentiation is proposed as a novel approach for Greeks computation. The 'payoff function independent' feature of algorithmic differentiation offers a unique solution cross distinct models. To this end, we derived, analysed and compared Monte Carlo estimators for computing the gradient of a certain payoff function using four different methods: algorithmic differentiation, Pathwise delta, likelihood ratio and finite differencing. We assessed the accuracy and efficiency of the four methods and their impacts into the optimisation algorithm. Numerical results are presented and discussed.
UR - http://www.scopus.com/inward/record.url?scp=84908120290&partnerID=8YFLogxK
U2 - 10.1109/CIFEr.2014.6924088
DO - 10.1109/CIFEr.2014.6924088
M3 - Conference Proceeding
AN - SCOPUS:84908120290
T3 - IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)
SP - 303
EP - 309
BT - 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings
A2 - Serguieva, Antoaneta
A2 - Maringer, Dietmar
A2 - Palade, Vasile
A2 - Almeida, Rui Jorge
PB - Institute of Electrical and Electronics Engineers Inc.
Y2 - 27 March 2014 through 28 March 2014
ER -