This paper features a market implied methodology to infer adequate starting values for the spot and long run variances and for the mean reversion rate of a calibration exercise under the Heston model. More particularly, these initial parameters are obtained by matching the term structure of the...

This paper proposes different diffusion processes to model herd behavior indices such as the Herd Behavior Index (HIX) or the comonotonicity index (CIX). These models arise by combining popular mean-reverting processes with simple algebraic functions mapping the definition domain of the...

In this paper the authors introduce the new concept of implied liquidity on the basis of the recent developed two-way price theory (conic finance). Implied liquidity isolates and quantifies in a fundamental way liquidity risk in financial markets. It is shown on real market option data on the...