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Tesi sul tema "Stochastic Volatility"

Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 25 luglio 2025

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1

Andersson, Kristina. "Stochastic Volatility." Thesis, Uppsala University, Department of Mathematics, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-121722.

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2

Galiotos, Vassilis. "Stochastic Volatility and the Volatility Smile." Thesis, Uppsala University, Department of Mathematics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-120151.

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3

Le, Truc. "Stochastic volatility models." Monash University, School of Mathematical Sciences, 2005. http://arrow.monash.edu.au/hdl/1959.1/5181.

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4

Zeytun, Serkan. "Stochastic Volatility, A New Approach For Vasicek Model With Stochastic Volatility." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/3/12606561/index.pdf.

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In the original Vasicek model interest rates are calculated assuming that volatility remains constant over the period of analysis. In this study, we constructed a stochastic volatility model for interest rates. In our model we assumed not only that interest rate process but also the volatility process for interest rates follows the mean-reverting Vasicek model. We derived the density function for the stochastic element of the interest rate process and reduced this density function to a series form. The parameters of our model were estimated by using the method of moments. Finally, we tested th

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5

Cap, Thi Diu. "Implied volatility with HJM–type Stochastic Volatility model." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-54938.

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In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems. In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. As this idea is inspired by the Heath-Jarrow-Morton framework which models the evolution of the full dynamics of forward rate curves for various maturities, we name this approach as the HJM-type stochastic volatility (HJM-SV) model. We conduct an empirical analysis by calibrating this model to rea

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6

Jacquier, Antoine. "Implied volatility asymptotics under affine stochastic volatility models." Thesis, Imperial College London, 2010. http://hdl.handle.net/10044/1/6142.

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This thesis is concerned with the calibration of affine stochastic volatility models with jumps. This class of models encompasses most models used in practice and captures some of the common features of market data such as jumps and heavy tail distributions of returns. Two questions arise when one wants to calibrate such a model: (a) How to check its theoretical consistency with the relevant market characteristics? (b) How to calibrate it rigorously to market data, in particular to the so-called implied volatility, which is a normalised measure of option prices? These two questions form the ba

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7

Ozkan, Pelin. "Analysis Of Stochastic And Non-stochastic Volatility Models." Master's thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/3/12605421/index.pdf.

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Changing in variance or volatility with time can be modeled as deterministic by using autoregressive conditional heteroscedastic (ARCH) type models, or as stochastic by using stochastic volatility (SV) models. This study compares these two kinds of models which are estimated on Turkish / USA exchange rate data. First, a GARCH(1,1) model is fitted to the data by using the package E-views and then a Bayesian estimation procedure is used for estimating an appropriate SV model with the help of Ox code. In order to compare these models, the LR test statistic calculated for non-nested hypotheses is

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8

Vavruška, Marek. "Realised stochastic volatility in practice." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-165381.

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Realised Stochastic Volatility model of Koopman and Scharth (2011) is applied to the five stocks listed on NYSE in this thesis. Aim of this thesis is to investigate the effect of speeding up the trade data processing by skipping the cleaning rule requiring the quote data. The framework of the Realised Stochastic Volatility model allows the realised measures to be biased estimates of the integrated volatility, which further supports this approach. The number of errors in recorded trades has decreased significantly during the past years. Different sample lengths were used to construct one day-ah

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9

Hrbek, Filip. "Metody předvídání volatility." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264689.

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In this masterthesis I have rewied basic approaches to volatility estimating. These approaches are based on classical and Bayesian statistics. I have applied the volatility models for the purpose of volatility forecasting of a different foreign exchange (EURUSD, GBPUSD and CZKEUR) in the different period (from a second period to a day period). I formulate the models EWMA, GARCH, EGARCH, IGARCH, GJRGARCH, jump diffuison with constant volatility and jump diffusion model with stochastic volatility. I also proposed an MCMC algorithm in order to estimate the Bayesian models. All the models we estim

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10

Lopes, Moreira de Veiga Maria Helena. "Modelling and forecasting stochastic volatility." Doctoral thesis, Universitat Autònoma de Barcelona, 2004. http://hdl.handle.net/10803/4046.

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El objetivo de esta tesis es modelar y predecir la volatilidad de las series financieras con modelos de volatilidad en tiempo discreto y continuo.<br/>En mi primer capítulo, intento modelar las principales características de las series financieras, como a persistencia y curtosis. Los modelos de volatilidad estocástica estimados son extensiones directas de los modelos de Gallant y Tauchen (2001), donde incluyo un elemento de retro-alimentación. Este elemento es de extrema importancia porque permite captar el hecho de que períodos de alta volatilidad están, en general, seguidos de periodos de gr

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11

Tsang, Wai-yin, and 曾慧賢. "Aspects of modelling stochastic volatility." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31223515.

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12

Kovachev, Yavor. "Calibration of stochastic volatility models." Thesis, Uppsala universitet, Analys och sannolikhetsteori, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-227502.

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13

Tsiotas, Georgios K. "Nonlinearities in stochastic volatility models." Thesis, University of Essex, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.394112.

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14

PEREIRA, RICARDO VELA DE BRITTO. "VOLATILITY: A HIDDEN STOCHASTIC PROCESS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2010. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=16816@1.

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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>A volatilidade é um parâmetro importante de modelagem do mercado financeiro. Ela controla a medida de risco associado à dinâmica estocástica de preço do título financeiro, afetando também o preço racional dos derivativos.Existe evidência empírica que a volatilidade é por sua vez também um processo estocástico, subjacente ao dos preços. Assim, a volatilidade não pode ser observada diretamente e tem que ser estimada, constituindo-se de um processo estocástico escondido.Nesta dissertação, consideramos um estimador para a volatilidad

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15

Chen, Jilong. "Pricing derivatives with stochastic volatility." Thesis, University of Glasgow, 2016. http://theses.gla.ac.uk/7703/.

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This Ph.D. thesis contains 4 essays in mathematical finance with a focus on pricing Asian option (Chapter 4), pricing futures and futures option (Chapter 5 and Chapter 6) and time dependent volatility in futures option (Chapter 7). In Chapter 4, the applicability of the Albrecher et al.(2005)'s comonotonicity approach was investigated in the context of various benchmark models for equities and com- modities. Instead of classical Levy models as in Albrecher et al.(2005), the focus is the Heston stochastic volatility model, the constant elasticity of variance (CEV) model and the Schwartz (1997)

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16

Venter, Rudolf Gerrit. "Pricing options under stochastic volatility." Diss., Pretoria : [s.n.], 2003. http://upetd.up.ac.za/thesis/available/etd09052005-120952.

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17

Tsang, Wai-yin. "Aspects of modelling stochastic volatility /." Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B22078952.

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18

Covaciu, Livia Andreea <1991&gt. "Stochastic volatility with big data." Master's Degree Thesis, Università Ca' Foscari Venezia, 2015. http://hdl.handle.net/10579/6933.

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The thesis aims to discuss stochastic volatility when a big amount of data is involved. Therefore I follow Windle and Carvalho (2015) and Casarin (2015) papers where a state-space model for observations and latent variables in the space of positive symmetric matrices is introduced. Moreover, I use Gibbs sample and MCMC method in order to discuss the Bayesian inference. One-step ahead and multi-step-ahead forecasting are evaluated because of their importance in economics and business. Since this model can have important applications in finance, one can use realized covariance matrices as data

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19

Abi, Jaber Eduardo. "Stochastic Invariance and Stochastic Volterra Equations." Thesis, Paris Sciences et Lettres (ComUE), 2018. http://www.theses.fr/2018PSLED025/document.

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Abstract (sommario):

La présente thèse traite de la théorie des équations stochastiques en dimension finie. Dans la première partie, nous dérivons des conditions géométriques nécessaires et suffisantes sur les coefficients d’une équation différentielle stochastique pour l’existence d’une solution contrainte à rester dans un domaine fermé, sous de faibles conditions de régularité sur les coefficients.Dans la seconde partie, nous abordons des problèmes d’existence et d’unicité d’équations de Volterra stochastiques de type convolutif. Ces équations sont en général non-Markoviennes. Nous établissons leur correspondanc

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20

Broodryk, Ryan. "The Lifted Heston Stochastic Volatility Model." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/32614.

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Can we capture the explosive nature of volatility skew observed in the market, without resorting to non-Markovian models? We show that, in terms of skew, the Heston model cannot match the market at both long and short maturities simultaneously. We introduce Abi Jaber (2019)'s Lifted Heston model and explain how to price options with it using both the cosine method and standard Monte-Carlo techniques. This allows us to back out implied volatilities and compute skew for both models, confirming that the Lifted Heston nests the standard Heston model. We then produce and analyze the skew for Lifted

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21

Choi, Chiu Yee. "A multivariate threshold stochastic volatility model /." View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?MATH%202005%20CHOI.

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22

Kalavrezos, Michail, and Michael Wennermo. "Stochastic Volatility Models in Option Pricing." Thesis, Mälardalen University, Department of Mathematics and Physics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-538.

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<p>In this thesis we have created a computer program in Java language which calculates European call- and put options with four different models based on the article The Pricing of Options on Assets with Stochastic Volatilities by John Hull and Alan White. Two of the models use stochastic volatility as an input. The paper describes the foundations of stochastic volatility option pricing and compares the output of the models. The model which better estimates the real option price is dependent on further research of the model parameters involved.</p>

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23

Aldberg, Henrik. "Bond Pricing in Stochastic Volatility Models." Thesis, Uppsala University, Department of Mathematics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-120524.

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24

Bjarnason, Thorir. "Stochastic volatility, convex prices and bubbles." Thesis, Uppsala University, Department of Mathematics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-120913.

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25

Malaikah, Honaida Muhammed S. "Stochastic volatility models and memory effect." Thesis, University of Manchester, 2011. https://www.research.manchester.ac.uk/portal/en/theses/stochastic-volatility-models-and-mempry-effect(424f6c71-a0e7-44ba-afbb-cc5f74ae075c).html.

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26

Sandmann, Gleb. "Stochastic volatility : estimation and empirical validity." Thesis, London School of Economics and Political Science (University of London), 1997. http://etheses.lse.ac.uk/1456/.

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Abstract (sommario):

Estimation of stochastic volatility (SV) models is a formidable task because the presence of the latent variable makes the likelihood function difficult to construct. The model can be transformed to a linear state space with non-Gaussian disturbances. Durbin and Koopman (1997) have shown that the likelihood function of the general non-Gaussian state space model can be approximated arbitrarily accurately by decomposing it into a Gaussian part (constructed by the Kalman filter) and a remainder function (whose expectation is evaluated by simulation). This general methodology is specialised to the

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27

Guo, Chuan. "The stochastic volatility Markov-functional model." Thesis, University of Warwick, 2016. http://wrap.warwick.ac.uk/91418/.

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In this thesis we study low-dimensional stochastic volatility interest rate models for pricing and hedging exotic derivatives. In particular we develop a stochastic volatility Markov-functional model. In order to implement the model numerically, we further propose a general algorithm by working with basis functions and conditional moments of the driving Markov process. Motivated by a data driven study, we choose a SABR type model as a driving process. With this choice we specify a pre-model and develop an approximation to evaluate conditional moments of the SABR driver which serve as building

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28

Pham, Duy. "Markov-functional and stochastic volatility modelling." Thesis, University of Warwick, 2012. http://wrap.warwick.ac.uk/55161/.

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In this thesis, we study two practical problems in applied mathematical fi nance. The first topic discusses the issue of pricing and hedging Bermudan swaptions within a one factor Markov-functional model. We focus on the implications for hedging of the choice of instantaneous volatility for the one-dimensional driving Markov process of the model. We find that there is a strong evidence in favour of what we term \parametrization by time" as opposed to \parametrization by expiry". We further propose a new parametrization by time for the driving process which takes as inputs into the model the ma

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29

Murara, Jean-Paul. "Asset Pricing Models with Stochastic Volatility." Licentiate thesis, Mälardalens högskola, Utbildningsvetenskap och Matematik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-31576.

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Abstract (sommario):

Asset pricing modeling is a wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, three papers and appendices; we deal with asset pricing models with stochastic volatility. Here stochastic volatility modeling includes diffusion models and regime-switching models. Stochastic volatility models appear as a response to the weakness of the constant volatility models. In Paper A , we present a survey on popular diffusion models where the volatility is itself a random process and we present the techniques of pricing European options under each model.

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30

Chen, Ke. "Essays on stochastic volatility and jumps." Thesis, University of Manchester, 2013. https://www.research.manchester.ac.uk/portal/en/theses/essays-on-stochastic-volatility-and-jumps(7ce79e77-2806-443e-84c1-8b3ec922cc9f).html.

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This thesis studies a few different finance topics on the application and modelling of jump and stochastic volatility process. First, the thesis proposed a non-parametric method to estimate the impact of jump dependence, which is important for portfolio selection problem. Comparing with existing literature, the new approach requires much less restricted assumption on the jump process, and estimation results suggest that the economical significance of jumps is largely mis-estimated in portfolio optimization problem. Second, this thesis investigates the time varying variance risk premium, in a f

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31

Yoon, Jungyeon Ji Chuanshu. "Option pricing with stochastic volatility models." Chapel Hill, N.C. : University of North Carolina at Chapel Hill, 2008. http://dc.lib.unc.edu/u?/etd,1964.

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Thesis (Ph. D.)--University of North Carolina at Chapel Hill, 2008.<br>Title from electronic title page (viewed Dec. 11, 2008). "... in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the Department of Statistics and Operations Research Statistics." Discipline: Statistics and Operations Research; Department/School: Statistics and Operations Research.

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32

Chen, Huaizhi. "Estimating Stochastic Volatility Using Particle Filters." Cleveland, Ohio : Case Western Reserve University, 2009. http://rave.ohiolink.edu/etdc/view?acc_num=case1247125250.

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Thesis (M.S.)--Case Western Reserve University, 2009<br>Title from PDF (viewed on 19 August 2009) Department of Mathematics Includes abstract Includes bibliographical references Available online via the OhioLINK ETD Center

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33

Terenzi, Giulia. "Option prices in stochastic volatility models." Thesis, Paris Est, 2018. http://www.theses.fr/2018PESC1132/document.

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L’objet de cette thèse est l’étude de problèmes d’évaluation d’options dans les modèles à volatilité stochastique. La première partie est centrée sur les options américaines dans le modèle de Heston. Nous donnons d’abord une caractérisation analytique de la fonction de valeur d’une option américaine comme l’unique solution du problème d’obstacle parabolique dégénéré associé. Notre approche est basée sur des inéquations variationelles dans des espaces de Sobolev avec poids étendant les résultats récents de Daskalopoulos et Feehan (2011, 2016) et Feehan et Pop (2015). On étudie aussi les proprié

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34

Salikhova, Alsu <1982&gt. "Stochastic Volatility Analysis for Hedge Funds." Master's Degree Thesis, Università Ca' Foscari Venezia, 2013. http://hdl.handle.net/10579/3351.

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35

Ahy, Nathaniel, and Mikael Sierra. "Implied Volatility Surface Approximation under a Two-Factor Stochastic Volatility Model." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-40039.

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Abstract (sommario):

Due to recent research disproving old claims in ﬁnancial mathematics such as constant volatility in option prices, new approaches have been incurred to analyze the implied volatility, namely stochastic volatility models. The use of stochastic volatility in option pricing is a relatively new and unexplored ﬁeld of research with a lot of unknowns, where new answers are of great interest to anyone practicing valuation of derivative instruments such as options. With both single and two-factor stochastic volatility models containing various correlation structures with respect to the asset price and

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36

Duben, Josef. "Oceňování opcí se stochastickou volatilitou." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-72010.

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The thesis is dealing with option pricing. The basic Black-Scholes model is described, along with the reasons that led to the development of stochastic volatility models. SABR model and Heston model are described in detail. These models are then applied to equity options in the times of high volatility. The models and their application are then evaluated.

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37

Yuksel, Ayhan. "Credit Risk Modeling With Stochastic Volatility, Jumps And Stochastic Interest Rates." Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/2/12609206/index.pdf.

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This thesis presents the modeling of credit risk by using structural approach. Three fundamental questions of credit risk literature are analyzed throughout the research: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and in

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38

Meng, Yu. "Bayesian Analysis of a Stochastic Volatility Model." Thesis, Uppsala University, Department of Mathematics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-119972.

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39

Hafner, Reinhold. "Stochastic implied volatility : a factor-based model /." Berlin [u.a.] : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0813/2004109369-d.html.

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40

Shi, Fangwei. "Asymptotic analysis of new stochastic volatility models." Thesis, Imperial College London, 2017. http://hdl.handle.net/10044/1/60648.

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A good options pricing model should be able to fit the market volatility surface with high accuracy. While the standard continuous stochastic volatility models can generate volatility smiles consistent with market data for relatively larger maturities, these models cannot reproduce market smiles for small maturities, which have the well-observed 'small-time explosion' feature. In this thesis we propose three new types of stochastic volatility models, and we focus on the small-time asymptotic behaviour of the implied volatility in these models. We show that these models can generate implied vol

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41

Shi, Lishan. "Stochastic volatility in mean option pricing models." Thesis, University of Cambridge, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.614015.

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42

Monge, Adriana Ocejo. "Time-change and control of stochastic volatility." Thesis, University of Warwick, 2014. http://wrap.warwick.ac.uk/62030/.

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The central theme of this thesis is the behavior of the value function of general optimal stopping problems under a stochastic volatility model when varying the volatility dynamics. We first use a combination of time-change and coupling techniques to show regularity properties of the value function. We consider a large class of terminal payoffs: when the first component of the model is a stochastic differential equation without drift we allow for general measurable functions, and when it has a drift we impose a mild condition which includes possibly unbounded and discontinuous functions. We al

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43

Rafiou, AS. "Foreign Exchange Option Valuation under Stochastic Volatility." University of the Western Cape, 2009. http://hdl.handle.net/11394/7777.

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>Magister Scientiae - MSc<br>The case of pricing options under constant volatility has been common practise for decades. Yet market data proves that the volatility is a stochastic phenomenon, this is evident in longer duration instruments in which the volatility of underlying asset is dynamic and unpredictable. The methods of valuing options under stochastic volatility that have been extensively published focus mainly on stock markets and on options written on a single reference asset. This work probes the effect of valuing European call option written on a basket of currencies, under constant

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44

Cullinan, Cian. "Implementation of Bivariate Unspanned Stochastic Volatility Models." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29266.

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Unspanned stochastic volatility term structure models have gained popularity in the literature. This dissertation focuses on the challenges of implementing the simplest case – bivariate unspanned stochastic volatility models, where there is one state variable controlling the term structure, and one scaling the volatility. Specifically, we consider the Log-Affine Double Quadratic (1,1) model of Backwell (2017). In the class of affine term structure models, state variables are virtually always spanned and can therefore be inferred from bond yields. When fitting unspanned models, it is necessary

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45

Wort, Joshua. "Pricing with Bivariate Unspanned Stochastic Volatility Models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31323.

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Unspanned stochastic volatility (USV) models have gained popularity in the literature. USV models contain at least one source of volatility-related risk that cannot be hedged with bonds, referred to as the unspanned volatility factor(s). Bivariate USV models are the simplest case, comprising of one state variable controlling the term structure and the other controlling unspanned volatility. This dissertation focuses on pricing with two particular bivariate USV models: the Log-Affine Double Quadratic (1,1) – or LADQ(1,1) – model of Backwell (2017) and the LinearRational Square Root (1,1) – or L

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46

Cowen, Nicholas. "Local Stochastic Volatility—The Hyp-Hyp Model." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/32556.

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Volatility modelling is used predominantly in order to explain the volatility smile observed in the market. Stochastic volatility models are mainly used to capture the curvature of a volatility smile while local volatility models generally model the skew. Jackel and Kahl ¨ (2008) present a hyperbolic-local hyperbolic-stochastic volatility (Hyp-Hyp) model which aims to improve upon existing local and stochastic volatility models such as the stochastic alpha, beta, rho (SABR) and constant elasticity of variance (CEV) models. The advantageous features of the Hyp-Hyp model are corroborated by impl

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47

Häfner, Reinhold. "Stochastic implied volatility : a factor-based model /." Berlin ; New York : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0813/2004109369-d.html.

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48

Zanchini, Giulia. "Stochastic local volatility model for fx markets." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2014. http://amslaurea.unibo.it/7685/.

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Abstract (sommario):

Questa tesi verte sullo studio di un modello a volatilità stocastica e locale, utilizzato per valutare opzioni esotiche nei mercati dei cambio. La difficoltà nell'implementare un modello di tal tipo risiede nella calibrazione della leverage surface e uno degli scopi principali di questo lavoro è quello di mostrarne la procedura.

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49

Kövamees, Gustav. "Particle-based Stochastic Volatility in Mean model." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-257505.

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This thesis present a Stochastic Volatility in Mean (SVM) model which is estimated using sequential Monte Carlo methods. The SVM model was first introduced by Koopman and provides an opportunity to study the intertemporal relationship between stock returns and their volatility through inclusion of volatility itself as an explanatory variable in the mean-equation. Using sequential Monte Carlo methods allows us to consider a non-linear estimation procedure at cost of introducing extra computational complexity. The recently developed PaRIS-algorithm, introduced by Olsson and Westerborn, drastical

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50

Zhao, Ze. "Stochastic volatility models with applications in finance." Diss., University of Iowa, 2016. https://ir.uiowa.edu/etd/2306.

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Abstract (sommario):

Derivative pricing, model calibration, and sensitivity analysis are the three main problems in financial modeling. The purpose of this study is to present an algorithm to improve the pricing process, the calibration process, and the sensitivity analysis of the double Heston model, in the sense of accuracy and efficiency. Using the optimized caching technique, our study reduces the pricing computation time by about 15%. Another contribution of this thesis is: a novel application of the Automatic Differentiation (AD) algorithms in order to achieve a more stable, more accurate, and faster sensiti

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