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Calibration of the Heston SV-model to market data.

KasP

Joined
12/3/08
Messages
8
Points
13
Hi everyone!

Can anyone help me with the calibration of the Heston SV-model to market data? I have looked in the other treads and can't find some useful information. I have tried to use Nimalin Moodleys MatLab-code, but it seems that it doens't work.
Has enyone a code for calibration of the model, such that I can get some help??

Best regards,

KasP
 
some people did this in one of the classes at Baruch. Hopefully somebody will post the code.
 
Hi Alain

Thanks, hopefully some would post a code, I really need one...

Best,

KasP
 
Hi again..

I have looked in that threat, men I need a code which take into account that we need at global minimum and not a local minimum. Does anyone have experience about the DE-algorithm? And does anyone has a MatLab-code for the Heston-model for this calibration?
What about the ASA-method? Can someone recommand some other calibration-methods which take into account the global minimum?

Hopefully someone can help...

Best regards,

KasP
 
Hi KasP

the DE optimization method should work just fine, afterwards you could think of a local refinement with eg Levenberg-Marquardt method to improve upon your global minimum. Here is a website devoted to Differential Evolution with code for various languages. Thomas Weise offers a free ebook on global optimization methods with lots of resources. Another site with many global opt code for different languages is here. Mr Chourdakis offers code on the calibration of the Heston model.
There is working heston code around the known forums and a simple "heston matlab" search in google gives plenty results. If you have a working heston pricer, than this is independent of some optimization routines anyway. Just combine your favorite optimization routine with your pricing engine.

Hope it helps
 
Thanks for your answer!

What I'm looking for is an algorithm for the Heston model, which ensure, when you minimize the distance between model prices and market prices, that the minimum we find, is a global minimum. What I hoped for, was an already programmed algorithm which is implemented in MatLab, Excel, Mathematica etc., and calibrate the Heston model to market data or implied volatilities...

Can someone help me with this?

Best,

KasP
 
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