Calibration and advanced simulation schemes for the Wishart Stochastic Volatility model

G. La Bua, D. Marazzina


Dipartimento di Matematica, Politecnico di Milano, Piazza Leonardo da Vinci 32, I-20133 Milano, Italy

Corresponding author: daniele.marazzina@polimi.it

 

Abstract:

In this article we deal with calibration and Monte Carlo simulation of the Wishart Stochastic Volatility model. Despite the analytical tractability of the considered model, being of affine type, the implementation of Wishart-based stochastic volatility models poses non-trivial challenges from a numerical point of view. The goal of this article is to overcome these problems providing efficient numerical schemes for Monte Carlo simulations. Moreover, a fast and accurate calibration procedure is proposed.

 

MATLAB CODE : SIA and GVA Monte Carlo algorithms

MATLAB CODE : WMSV to Heston/Bi-Heston mapping

 

Other codes are available upon request.