Dr Song-Ping Zhu is a Senior Professor of Applied Mathematics at the University of Wollongong, Australia. His PhD degree was awarded by the University of Michigan (Ann Arbor, Michigan, USA) in December 1987. Over the past 30 years, Professor Zhu has established an outstanding research track record and his work has been recognized internationally. In terms of quantity, he has published over 150 papers in international journals (www.math.uow.edu.au/people/zhupubs.shtml) and conference proceedings (www.math.uow.edu.au/people/spzconf.shtml). In terms of quality, he has papers published in the most prestigious journals, such as Mathematical Finance, Journal of Banking and Finance and Journal of Fluid Mechanics. In terms of citations, his publications have attracted over 1600 citations (H-index 23) according to the ISI Web of Science, over 1800 citations (H-index 23) according to the Scopus and over 3000 (H-index 30) according to the Google Scholar. Finally, in terms of research grants, he has been awarded over A$2M in total from Australia Research Council and private industry. As a result, he has been invited to give keynote speeches and seminars at many international conferences, various prestigious universities, and Wall Street.
This paper compares two methods to calibrate two popular models that are widely used for stochastic volatility modeling (ie, the SABR and Heston models) with the time series of options written on the Nasdaq 100 index to examine the regularization effect…