Accelerating the calibration of stochastic volatility models

This paper compares the performance of three methods for pricing vanilla options in models with known characteristic function: (1) Direct integration, (2) Fast Fourier Transform (FFT), (3) Fractional FFT. The most important application of this comparison is the choice of the fastest method for the calibration of stochastic volatility models, e.g. Heston, Bates, Barndor®-Nielsen-Shephard models or Levy models with stochastic time. We show that using additional cache technique makes the calibration with the direct integration method at least seven times faster than the calibration with the fractional FFT method.Stochastic Volatility Models; Calibration; Numerical Integration; Fast Fourier Transform

Accelerating the calibration of stochastic volatility models

This paper compares the performance of three methods for pricing vanilla options in models with known characteristic function: (1) Direct integration, (2) Fast Fourier Transform (FFT), (3) Fractional FFT. The most important application of this comparison is the choice of the fastest method for the calibration of stochastic volatility models, e.g. Heston, Bates, Barndorff-Nielsen-Shephard models or Levy models with stochastic time. We show that using additional cache technique makes the calibration with the direct integration method at least seven times faster than the calibration with the fractional FFT method. --Stochastic Volatility Models,Calibration,Numerical Integration,Fast Fourier Transform

Analysis of convergence process of East German economy on the base of a two-region growth model

The main purpose of the paper is to analyse the speed of regional convergence of unified Germany on the basis of a two-region growth model with public productive spending. The model explains the dynamics of convergence, taking into account high fixed wages in East Germany, recent dynamics of public productive spending, government subsidies for private investments and a structure of human capital in both parts of Germany. The paper detects a new possible cause of the recent halt of East German economic convergence, namely the influence of pre- unification educational infrastructure dynamics. Using the model, we estimate numerically different reform strategies, which have the goal to increase the speed of convergence.East Germany Ostdeutschland convergence fixed wages education two-region growth human capital collateral unemployment infrastructure traffic trade union subsidies employers organisation

Nonlinear coherent loss for generating non-classical states

Here we discuss generation of non-classical states of bosonic mode with the help of artificially designed loss, namely the nonlinear coherent loss. We show how to generate superpositions of Fock states, and how it is possible to "comb" the initial states leaving only states with certain properties in the resulting superposition (for example, a generation of a superposition of Fock states with odd number of particles). We discuss purity of generated states and estimate maximal achievable generation fidelity

Quantum Teleportation Using Quantum Non-Demolition Technique

We propose a new scheme and protocol for quantum teleportation of a single-mode field state, based on entanglement produced by quantum non-demolition interaction. We show that the recently attained results in QND technique allow to perform the teleportation in quantum regime. We also show that applying QND coupling to squeezed fields will significantly improve the quality of teleportation for a given degree of squeezing.Comment: 4 pages RevTeX, 2 figure