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: firstname.lastname@example.org
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.