A Reference for Stochastic Volatility Model Calibration

Summary

The document asks for references surveying methods used to calibrate stochastic volatility models, including the Heston model. It notes that many calibration approaches exist and seeks a broad overview of research and practical projects. The response recommends Lorenzo Bergomi’s book, Stochastic Volatility Modeling, as a place to consult.

This is a reading suggestion rather than a calibration tutorial. It does not compare estimation methods, describe an objective function or implementation steps, or provide evidence about the relative performance of approaches. Readers seeking a survey or a specific calibration workflow would need to consult the cited reference and assess whether it addresses their model, data, and use case.

Key ideas

• Stochastic volatility models such as Heston can be calibrated using multiple approaches.
• The response recommends Lorenzo Bergomi’s Stochastic Volatility Modeling as a reference.
• The exchange does not describe or compare any calibration procedures.

Tags

# Calibration of stochastic volatility models


# Calibration of stochastic volatility models












Which are good references to know about different calibration methods for stochastic volatility models such as Heston? I know that there are a lot of way of carrying this task out and I was just wondering if there is something like a survey of some work and project done about.

## Answer by mygut (score 1)

https://quant.stackexchange.com/a/36742

You may have a look at Stochastic Volatility Modeling by Lorenzo Bergomi.

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