{"id":"https://openalex.org/W4398140533","doi":"https://doi.org/10.1080/00207160.2024.2353189","title":"A gradient-based calibration method for the Heston model","display_name":"A gradient-based calibration method for the Heston model","publication_year":2024,"publication_date":"2024-05-20","ids":{"openalex":"https://openalex.org/W4398140533","doi":"https://doi.org/10.1080/00207160.2024.2353189"},"language":"en","primary_location":{"id":"doi:10.1080/00207160.2024.2353189","is_oa":true,"landing_page_url":"https://doi.org/10.1080/00207160.2024.2353189","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/00207160.2024.2353189?download=true","source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://www.tandfonline.com/doi/pdf/10.1080/00207160.2024.2353189?download=true","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5055550979","display_name":"Anna Clevenhaus","orcid":"https://orcid.org/0000-0002-0101-6659"},"institutions":[{"id":"https://openalex.org/I167360494","display_name":"University of Wuppertal","ror":"https://ror.org/00613ak93","country_code":"DE","type":"education","lineage":["https://openalex.org/I167360494"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Anna Clevenhaus","raw_affiliation_strings":["Applied and Computational Mathematics, Bergische Universit\u00e4t Wuppertal, Wuppertal, Germany"],"raw_orcid":"https://orcid.org/0000-0002-0101-6659","affiliations":[{"raw_affiliation_string":"Applied and Computational Mathematics, Bergische Universit\u00e4t Wuppertal, Wuppertal, Germany","institution_ids":["https://openalex.org/I167360494"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5045326930","display_name":"Claudia Totzeck","orcid":"https://orcid.org/0000-0001-6283-7154"},"institutions":[{"id":"https://openalex.org/I167360494","display_name":"University of Wuppertal","ror":"https://ror.org/00613ak93","country_code":"DE","type":"education","lineage":["https://openalex.org/I167360494"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Claudia Totzeck","raw_affiliation_strings":["Optimization,Bergische Universit\u00e4t Wuppertal, Wuppertal, Germany","Optimization, Bergische Universit\u00e4t Wuppertal, Wuppertal, Germany"],"raw_orcid":"https://orcid.org/0000-0001-6283-7154","affiliations":[{"raw_affiliation_string":"Optimization,Bergische Universit\u00e4t Wuppertal, Wuppertal, Germany","institution_ids":["https://openalex.org/I167360494"]},{"raw_affiliation_string":"Optimization, Bergische Universit\u00e4t Wuppertal, Wuppertal, Germany","institution_ids":["https://openalex.org/I167360494"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5059041681","display_name":"Matthias Ehrhardt","orcid":"https://orcid.org/0000-0003-2561-8854"},"institutions":[{"id":"https://openalex.org/I167360494","display_name":"University of Wuppertal","ror":"https://ror.org/00613ak93","country_code":"DE","type":"education","lineage":["https://openalex.org/I167360494"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Matthias Ehrhardt","raw_affiliation_strings":["Applied and Computational Mathematics, Bergische Universit\u00e4t Wuppertal, Wuppertal, Germany","Applied and Computational Mathematics,\u00a0Bergische Universit\u00e4t Wuppertal, Wuppertal, Germany"],"raw_orcid":"https://orcid.org/0000-0003-2561-8854","affiliations":[{"raw_affiliation_string":"Applied and Computational Mathematics, Bergische Universit\u00e4t Wuppertal, Wuppertal, Germany","institution_ids":["https://openalex.org/I167360494"]},{"raw_affiliation_string":"Applied and Computational Mathematics,\u00a0Bergische Universit\u00e4t Wuppertal, Wuppertal, Germany","institution_ids":["https://openalex.org/I167360494"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5059041681"],"corresponding_institution_ids":["https://openalex.org/I167360494"],"apc_list":null,"apc_paid":null,"fwci":0.3457,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.58834861,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"101","issue":"9-10","first_page":"1094","last_page":"1112"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12100","display_name":"Advanced Mathematical Modeling in Engineering","score":0.9952999949455261,"subfield":{"id":"https://openalex.org/subfields/1703","display_name":"Computational Theory and Mathematics"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T12100","display_name":"Advanced Mathematical Modeling in Engineering","score":0.9952999949455261,"subfield":{"id":"https://openalex.org/subfields/1703","display_name":"Computational Theory and Mathematics"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10339","display_name":"Advanced Numerical Methods in Computational Mathematics","score":0.9948999881744385,"subfield":{"id":"https://openalex.org/subfields/2206","display_name":"Computational Mechanics"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10360","display_name":"Fluid Dynamics and Turbulent Flows","score":0.9936000108718872,"subfield":{"id":"https://openalex.org/subfields/2206","display_name":"Computational Mechanics"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.7630093097686768},{"id":"https://openalex.org/keywords/calibration","display_name":"Calibration","score":0.7120075225830078},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3947433531284332},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.38033562898635864},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.25747764110565186},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.24185782670974731},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.23675864934921265},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.08903491497039795}],"concepts":[{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.7630093097686768},{"id":"https://openalex.org/C165838908","wikidata":"https://www.wikidata.org/wiki/Q736777","display_name":"Calibration","level":2,"score":0.7120075225830078},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3947433531284332},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.38033562898635864},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.25747764110565186},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.24185782670974731},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.23675864934921265},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.08903491497039795},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/00207160.2024.2353189","is_oa":true,"landing_page_url":"https://doi.org/10.1080/00207160.2024.2353189","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/00207160.2024.2353189?download=true","source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.1080/00207160.2024.2353189","is_oa":true,"landing_page_url":"https://doi.org/10.1080/00207160.2024.2353189","pdf_url":"https://www.tandfonline.com/doi/pdf/10.1080/00207160.2024.2353189?download=true","source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4398140533.pdf","grobid_xml":"https://content.openalex.org/works/W4398140533.grobid-xml"},"referenced_works_count":17,"referenced_works":["https://openalex.org/W1600371943","https://openalex.org/W2064978316","https://openalex.org/W2114084519","https://openalex.org/W2155752967","https://openalex.org/W2426233213","https://openalex.org/W2551055368","https://openalex.org/W2751815776","https://openalex.org/W2905936647","https://openalex.org/W2914530128","https://openalex.org/W2963319432","https://openalex.org/W2965639355","https://openalex.org/W3025542386","https://openalex.org/W3095372661","https://openalex.org/W3139635023","https://openalex.org/W3197517162","https://openalex.org/W4205654174","https://openalex.org/W4296285941"],"related_works":["https://openalex.org/W4391375266","https://openalex.org/W2748952813","https://openalex.org/W2506914110","https://openalex.org/W1510434604","https://openalex.org/W3121673977","https://openalex.org/W2390279801","https://openalex.org/W2358668433","https://openalex.org/W4396701345","https://openalex.org/W2376932109","https://openalex.org/W2001405890"],"abstract_inverted_index":{"The":[0],"Heston":[1,10,77,104,113,136],"model":[2,11,40,161],"is":[3,31,107,170],"a":[4,63,67,91,121,173],"well-known":[5],"two-dimensional":[6],"financial":[7],"model.Because":[8],"the":[9,25,36,39,49,53,57,76,79,99,103,112,115,135,141,145,150,156,160,163],"contains":[12],"implicit":[13],"parameters":[14,26,37],"that":[15,131],"cannot":[16],"be":[17],"determined":[18],"directly":[19],"from":[20],"real":[21,28],"market":[22,29],"data,":[23],"calibrating":[24],"to":[27,47,110],"data":[30],"challenging.In":[32],"addition,":[33],"some":[34],"of":[35,52,75,102,123,134,175],"in":[38,144],"are":[41,117,165],"non-linear,":[42],"which":[43,106],"makes":[44],"it":[45],"difficult":[46],"find":[48],"global":[50],"minimum":[51],"optimization":[54,85],"problem":[55],"within":[56],"calibration.In":[58],"this":[59,95,168],"paper,":[60],"we":[61,87,97,119],"present":[62],"first":[64],"step":[65],"towards":[66],"novel":[68],"space":[69,80,157],"mapping":[70,81,158],"approach":[71,82],"for":[72,140,152],"parameter":[73,127],"calibration":[74,133,146],"model.Since":[78],"requires":[83],"an":[84],"algorithm,":[86],"focus":[88],"on":[89],"deriving":[90],"gradient":[92],"descent":[93],"algorithm.To":[94],"end,":[96],"determine":[98],"formal":[100],"adjoint":[101],"PDE,":[105],"then":[108],"used":[109],"update":[111],"parameters.Since":[114],"methods":[116],"similar,":[118],"consider":[120],"variation":[122],"constant":[124],"and":[125,148,162],"time-dependent":[126],"sets.Numerical":[128],"results":[129],"show":[130],"our":[132],"PDE":[137],"works":[138],"well":[139,166],"various":[142],"challenges":[143],"process":[147],"meets":[149],"requirements":[151],"later":[153],"incorporation":[154],"into":[155],"approach.Since":[159],"algorithm":[164],"known,":[167],"work":[169],"formulated":[171],"as":[172],"proof":[174],"concept.":[176]},"counts_by_year":[{"year":2024,"cited_by_count":1}],"updated_date":"2026-03-12T06:13:28.667946","created_date":"2025-10-10T00:00:00"}
