Selah Tanaka Marozva

Modeling Financial Stability Under Economic and Financial Downturns: A PDE-Constrained Optimization Approach with Regime-Switching Stochastic Volatility and Jumps

We develop a PDE-constrained optimization framework for calibrating a regime-switching Heston–Merton model to S&P 500 index option prices. The model features two latent Markov regimes modulating stochastic volatility parameters and compound Poisson jumps, capturing the stylized fact that market volatility clusters diff...