common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

. First, empirical data are often characterized by time-varying volatility and fat tails; therefore we use Gaussian GAS …

data. In order for the Black-Scholes implied volatility surface to exhibit the empirically observed skew or smile, a … stochastic volatility model can be used to compute the option greeks. Because the European price under many stochastic volatility … explores three parallelization approaches for calibrating stochastic volatility models deployed on a multicore CPU cluster. The …

We analyze in detail calibration and pricing performed within the framework of local stochastic volatility LSV models … stochastic volatility models, providing answers (to the best of our knowledge), and present references for deeper understanding …

volatility models being an archetypal example due to the non-convexity of the objective function. In order to accelerate this … development and productionization.This paper describes the acceleration of stochastic volatility model calibration on multi …

We extend and generalize some results on bounding security prices under several stochastic volatility models that …