Hello,
I need to calibrate a stochastic volatility model on freight option market prices.
The Heston Model is a stochastic volatility model which is driven by two stochastic processes: the underlying and the volatilty. It has five parameters (mean reversion rate, long run average price variance, volatility of the volatility, instantaneous variance and correlation between the two processes) which need to be calibrated and is implemented via Monte-Carlo method. The code for a Monte-Carlo Heston Call is available.
The data on market prices consists of spot prices, strike price, risk-free interest rate, time in years and market prices of the freight options. All data is available.
The calibration method is differential evolution, a global optimizer that iteratively optimizes a problem. The code and an example for the optimization of the ackley function (two parameters) is available.
The code for the differential evolution needs to be applied on the Monte-Carlo Heston Model. It shouldn't take long to combine these codes into one.
I'm looking forward to your answer.
Greetings
hi, this sounds like an interesting project. without having a look at the data or the code that you refer to, it is a little hard to estimate how much time this will take. however, i guess that it will be in the order of 3-5 hours. i would proceed with the project as follows:
1. review data and provided code
2. implement interface between existing code and R (statistical platform)
3. perform DE optimisation in R
4. report results
can you please send me more information regarding the format of the data and the code. thanks!
best regards,
andrew.
€16 EUR en 5 días
5,0 (1 comentario)
1,7
1,7
6 freelancers están ofertando un promedio de €21 EUR /hora por este trabajo
Hi, we are a team of programmers and designers with expertise and experience in PHP, Mysql, jQuery and Ajax. We have coded and designed websites for various types of businesses very successfully. We have developed many complex and extensive custom websites of varied extents and complexity. Please see PMB for some of our recent projects. We recommend long term reliable and valuable solutions to all our clients meeting their exact requirements. I wish to request you to open a PMB to discuss in detail about the precise requirements. This will help me to assess scope of work and I will revise or confirm my bid. It will also help me to make an informed commitment. I wish to assure you that I commit only if I am confident of delivering and once committed I ensure a very thorough job. I also ensure support if you need enhancements in future. I look forward to hearing from you and working on the project. Thank you.
I have a very strong academic background in stochastics, financial mathematics and financial engineering as you can see from my transcripts. I've interned in Financial Engineering at a major German bank.
I am new to freelancer.com and would like to build a good reputation. Thus, I am willing for a low hourly rate.