In this thesis, we study the quadratic rough Heston model and the corresponding simulation methods. We calibrate the model using real-world market data. We compare and implement the three commonly used schemes (Hybrid, Multifactor, and Multifactor hybrid). We calibrate the model using real-world market SPX data. To speed up calibration, we apply quasi-Monte Carlo methods. We study the effect of the various calibration parameters on the volatility smile.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-515190 |
| Date | January 2023 |
| Creators | Dushkina, Marina |
| Publisher | Uppsala universitet, Sannolikhetsteori och kombinatorik |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | U.U.D.M. project report ; 2023:43 |
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