Calibrating Heston for credit risk

Marco de Innocentis and Sergei Levendorskiĭ describe a faster and more accurate method for market-implied calibration of the Heston model

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Marco de Innocentis and Sergei Levendorskiĭ describe a new method for market-implied calibration of the Heston model for equity, based on an improved version of the parabolic pricing algorithm. This pricing method, when used in the calibration, is much faster and more accurate, and better reproduces the implied volatilities, than popular alternatives. As such, it is suitable for use in a typical internal model method counterparty risk engine

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