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From model to application: Calibration to market data

: Sayer, Tilman; Wenzel, Jörg


Schryver, Christian de:
FPGA based accelerators for financial applications
Cham: Springer International Publishing, 2015
ISBN: 978-3-319-15406-0 (Print)
ISBN: 978-3-319-15407-7 (Online)
ISBN: 3-319-15407-9
Aufsatz in Buch
Fraunhofer ITWM ()

We present the procedure of model calibration within the scope of financial applications. We discuss several models that are used to describe the movement of financial underlyings and state closed or semi-closed pricing formulas for basic financial instruments. Furthermore, we explain how these are used in a general calibration procedure with the purpose to determine sensible model parameters. Finally, we gather typical numerical issues that often arise in the context of calibration and that have to be handled with care.