Calibration

2 stories tagged Calibration on Learning Fanatic.

Lesson 8.4: Local and stochastic volatility, calibration and model risk Learn local and stochastic volatility, how Heston produces the smile, how models are calibrated, why parameters can be unstable, and what model risk is.
Lesson 6.3: Regression metrics, calibration and choosing a threshold Learn MAE, RMSE and MAPE for numeric predictions, how to check that predicted probabilities are honest, and how to pick a cutoff from the cost of each mistake.