{"id":"https://openalex.org/W2086012773","doi":"https://doi.org/10.1109/cifer.2014.6924088","title":"On the calibration of stochastic volatility models: A comparison study","display_name":"On the calibration of stochastic volatility models: A comparison study","publication_year":2014,"publication_date":"2014-03-01","ids":{"openalex":"https://openalex.org/W2086012773","doi":"https://doi.org/10.1109/cifer.2014.6924088","mag":"2086012773"},"language":"en","primary_location":{"id":"doi:10.1109/cifer.2014.6924088","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cifer.2014.6924088","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)","raw_type":"proceedings-article"},"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5101888422","display_name":"Jia Zhai","orcid":"https://orcid.org/0000-0002-2746-7749"},"institutions":[{"id":"https://openalex.org/I138801177","display_name":"University of Ulster","ror":"https://ror.org/01yp9g959","country_code":"GB","type":"education","lineage":["https://openalex.org/I138801177"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Jia Zhai","raw_affiliation_strings":["Department of Accounting, Finance and Economics, University of Ulster, Jordanstown, United Kingdom"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Accounting, Finance and Economics, University of Ulster, Jordanstown, United Kingdom","institution_ids":["https://openalex.org/I138801177"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5045986817","display_name":"Yi Cao","orcid":"https://orcid.org/0000-0002-5087-8861"},"institutions":[{"id":"https://openalex.org/I138801177","display_name":"University of Ulster","ror":"https://ror.org/01yp9g959","country_code":"GB","type":"education","lineage":["https://openalex.org/I138801177"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Yi Cao","raw_affiliation_strings":["School of Computing and Intelligent Systems, University of Ulster, Londonderry, United Kingdom"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Computing and Intelligent Systems, University of Ulster, Londonderry, United Kingdom","institution_ids":["https://openalex.org/I138801177"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I138801177"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":"2","issue":null,"first_page":"303","last_page":"309"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9979000091552734,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9876000285148621,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6841648817062378},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.672712504863739},{"id":"https://openalex.org/keywords/computation","display_name":"Computation","score":0.6291664838790894},{"id":"https://openalex.org/keywords/automatic-differentiation","display_name":"Automatic differentiation","score":0.5643625259399414},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.540437638759613},{"id":"https://openalex.org/keywords/stochastic-game","display_name":"Stochastic game","score":0.5342454314231873},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5258967280387878},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.50338214635849},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.445962131023407},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4431777000427246},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.415352463722229},{"id":"https://openalex.org/keywords/numerical-differentiation","display_name":"Numerical differentiation","score":0.4135705828666687},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.3736301064491272},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3511539697647095},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.16800475120544434},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.10335123538970947},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.08873417973518372}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6841648817062378},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.672712504863739},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.6291664838790894},{"id":"https://openalex.org/C133512626","wikidata":"https://www.wikidata.org/wiki/Q787371","display_name":"Automatic differentiation","level":3,"score":0.5643625259399414},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.540437638759613},{"id":"https://openalex.org/C22171661","wikidata":"https://www.wikidata.org/wiki/Q1074380","display_name":"Stochastic game","level":2,"score":0.5342454314231873},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5258967280387878},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.50338214635849},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.445962131023407},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4431777000427246},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.415352463722229},{"id":"https://openalex.org/C154181440","wikidata":"https://www.wikidata.org/wiki/Q1683292","display_name":"Numerical differentiation","level":2,"score":0.4135705828666687},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.3736301064491272},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3511539697647095},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.16800475120544434},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.10335123538970947},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.08873417973518372},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1109/cifer.2014.6924088","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cifer.2014.6924088","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)","raw_type":"proceedings-article"},{"id":"pmh:oai:alma.44SUR_INST:11140171010002346","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4210197018","display_name":"View","issn_l":"2688-268X","issn":["2688-268X","2688-3988"],"is_oa":false,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"","raw_type":""},{"id":"pmh:oai:epubs.surrey.ac.uk:842246","is_oa":false,"landing_page_url":"http://epubs.surrey.ac.uk/842246/1/On%20the%20Calibration%20of%20Stochastic%20Volatility%20Models%20A%20Comparison%20Study.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400680","display_name":"Surrey Research Insight Open Access (The University of Surrey)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I28290843","host_organization_name":"University of Surrey","host_organization_lineage":["https://openalex.org/I28290843"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Conference or Workshop Item"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":22,"referenced_works":["https://openalex.org/W6586607","https://openalex.org/W1491178396","https://openalex.org/W1585773866","https://openalex.org/W1602773783","https://openalex.org/W1958196783","https://openalex.org/W1983886831","https://openalex.org/W1988697445","https://openalex.org/W1998031535","https://openalex.org/W2017957151","https://openalex.org/W2033200020","https://openalex.org/W2034241492","https://openalex.org/W2040039427","https://openalex.org/W2064978316","https://openalex.org/W2084689793","https://openalex.org/W2129220488","https://openalex.org/W2130345504","https://openalex.org/W2158580072","https://openalex.org/W2606984507","https://openalex.org/W3121174621","https://openalex.org/W3124475197","https://openalex.org/W4234209951","https://openalex.org/W6736968452"],"related_works":["https://openalex.org/W4230546540","https://openalex.org/W1543341614","https://openalex.org/W2553993726","https://openalex.org/W2593872707","https://openalex.org/W2039953621","https://openalex.org/W2026155714","https://openalex.org/W1738251596","https://openalex.org/W1966050627","https://openalex.org/W2390741385","https://openalex.org/W4254216217"],"abstract_inverted_index":{"We":[0,77],"studied":[1],"the":[2,17,57,79,84,91],"application":[3],"of":[4,34,59,83],"gradient":[5,58],"based":[6],"optimization":[7],"methods":[8,86],"for":[9,26,55],"calibrating":[10],"stochastic":[11],"volatility":[12],"models.":[13,43],"In":[14],"this":[15,45],"study,":[16],"algorithmic":[18,35,68],"differentiation":[19,36],"is":[20],"proposed":[21],"as":[22],"a":[23,38,60],"novel":[24],"approach":[25],"Greeks":[27],"computation.":[28],"The":[29],"\u201cpayoff":[30],"function":[31,63],"independent\u201d":[32],"feature":[33],"offers":[37],"unique":[39],"solution":[40],"cross":[41],"distinct":[42],"To":[44],"end,":[46],"we":[47],"derived,":[48],"analysed":[49],"and":[50,74,81,87,98],"compared":[51],"Monte":[52],"Carlo":[53],"estimators":[54],"computing":[56],"certain":[61],"payoff":[62],"using":[64],"four":[65,85],"different":[66],"methods:":[67],"differentiation,":[69],"Pathwise":[70],"delta,":[71],"likelihood":[72],"ratio":[73],"finite":[75],"differencing.":[76],"assessed":[78],"accuracy":[80],"efficiency":[82],"their":[88],"impacts":[89],"into":[90],"optimisation":[92],"algorithm.":[93],"Numerical":[94],"results":[95],"are":[96],"presented":[97],"discussed.":[99]},"counts_by_year":[{"year":2015,"cited_by_count":1}],"updated_date":"2026-07-14T23:27:15.235271","created_date":"2025-10-10T00:00:00"}