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| boetman | Posted on: 2006/10/31 7:12 |
Just popping in   Joined: 2006/10/31 From: Stellenbosch Posts: 1 |
Volatility Surface I am doing some research as to which Volatility Surface is the most robust and accurate in illiquid markets (such as those in South Africa). I stumbled upon an article written by Graeme West suggesting that the dynamic SABR model (Hagan 2002) may be the best model to use. Are there any other models that anyone can suggest?
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| Jacques | Posted on: 2006/10/31 7:54 |
Just popping in Joined: 2006/10/31 From: Stellenbosch Posts: 1 |
Re: Volatility Surface I'm also currently doing research on this topic... I have downloaded the m-code for the sabr model as well as the excel sheet, but the m-file seems to call a public function named leasqr (probably the function used for the Levenberg-Marquart least squares error minimization routine).
A request to the author to include this routine as well. |
| lazim | Posted on: 2006/10/31 19:40 |
Just popping in Joined: 2006/10/31 From: Italy Posts: 7 |
Re: Volatility Surface Jacques, I have used the m-file with Octave 2.1.50 and it is basicaly levenberg optimization in optim toolbox. Probably this file has a matlab equivalent from mathworks
http://www.mathworks.com/cgi-bin/matlab/jump.cgi?ID=17324 |
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