90.3.25.251

April 2019

Hello, I'm Megaman en m. I noticed that you recently removed content from Heston model without adequately explaining why. In the future, it would be helpful to others if you described your changes to Wikipedia with an accurate edit summary. If this was a mistake, don't worry; the removed content has been restored. If you would like to experiment, please use the sandbox. If you think I made a mistake, or if you have any questions, you can leave me a message on my talk page. Thanks. Megaman en m (talk) 16:31, 17 April 2019 (UTC)

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Hello Megaman,

The calibration section presents false claims: it is not calibrated exclusively to vanilla options, the analytical gradient is not a magic tool that solves everything (automatic differentiation was a preexisting simple solution), and the problem of multiple minima is inherent to calibration problems in general (it is possible to find to sets of discrete market prices which will result in the same error measure). Hence the paper from Cui et al. is far from being as important as it is presented here. Furthermore, it is useful to present actual ways people use to price vanilla option with Calibration in mind (Le Floc'h reference), and the paper from Guillaume shows how the variance swaps may be used in the calibration.

Regarding the Damghani reference, it looks very far stretched to link this to the Heston model. It's actually a simple contraint added to the calibration of the SVI parameterization. Furthermore, it does seem to produce good results, see https://chasethedevil.github.io/post/damghani_dearbitraging_a_weak_smile_on_svi/

Thanks for explaining your reasoning. I'm not familiar with this topic, but it's a good idea to mention the reason for removing content in the edit summary. I restored both your edits.--Megaman en m (talk) 09:29, 18 April 2019 (UTC)

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Again, welcome! Megaman en m (talk) 09:30, 18 April 2019 (UTC)

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