Dr Xin-Jiang He was awarded his PhD by the University of Wollongong in December 2017. Due to the outstanding research outcomes of his PhD, he was able to graduate within 2.5 years and was offered a position as an Associate Lecturer at the University of Wollongong even before his graduation. He was promoted to a Lecturer position with continuing employment in June 2018. He is now a Special-term professor at Zhejiang University of Technology in China starting January 2021. As an early career researcher being slightly more than three years out from the confirmation of his PhD, his research covers a wide range of topics in the derivative pricing area, ranging from theory and computation to model calibration and empirical studies. He has established an outstanding track record in the quantitative finance area with more than 40 papers already published in top-ranking international journals, such as Journal of Economic Dynamics and Control and Quantitative Finance. As an invited speaker, he presented his latest research at “The 2nd International Symposium on Partial Differential Equations & Stochastic Analysis in Mathematical Finance” held in Sanya China between January 6 and 10, 2020.
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…