摘要翻译：
本文提出了一种方法，为一个广泛的模型族引入时间相关参数，以保持它们的分析可处理性。这个家族包括具有随机波动率、随机利率、跳跃和它们的非混合对应的混合模型。该方法被应用于Heston模型。提出了一种自举算法进行校准。一个案例研究确定了时间相关参数对Eurostoxx 50指数波动面的校正。该方法还应用于Heston模型驱动的远期启动香草期权的分析估值。这一结果被用来探索案例研究的正向歪斜。
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英文标题：
《Models with time-dependent parameters using transform methods:
  application to Heston's model》
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作者：
A. Elices
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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英文摘要：
  This paper presents a methodology to introduce time-dependent parameters for a wide family of models preserving their analytic tractability. This family includes hybrid models with stochastic volatility, stochastic interest-rates, jumps and their non-hybrid counterparts. The methodology is applied to Heston's model. A bootstrapping algorithm is presented for calibration. A case study works out the calibration of the time-dependent parameters to the volatility surface of the Eurostoxx 50 index. The methodology is also applied to the analytic valuation of forward start vanilla options driven by Heston's model. This result is used to explore the forward skew of the case study.
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PDF链接：
https://arxiv.org/pdf/0708.2020