description
1) Analyze the dependence between returns and volatility in conventional stochastic volatility (SV) models 2) Introduce the beta SV model by Karasinski-Sepp, "Beta Stochastic Volatility Model", Risk, October 2012 3) Illustrate intuitive and robust calibration of the beta SV model to historical and implied data 4) Mix local and stochastic volatility in the beta SV model to produce different volatility regimes and equity delta