Models calibration

Calibration of volatility models for market data is a crucial and tricky step in simulating accurately a spot diffusion. We provide efficient numerical methods based on Partial Differential Equations and Discrete Fourier Transform to calibrate a broad range of diffusion processes, from local volatility to the most sophisticated stochastic volatility models. We concentrate on adaptive discretization schemes delivering accurate a posteriori error estimates without any compromise in stability and speed. This technology is available in the Finoptech-p1, HedgeControl and FinCal Component offers.