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CVA
Covanta Holding Corporation
stock NYSE

Inactive

Nov 29, 2021

20.26USD+0.099%(+0.02)6,694,797

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0.00USD-100.000%(-20.24)0

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0.00USD0.000%(0.00)0

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CVA Reddit Mentions

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CVA Specific Mentions

As of Jun 14, 2025 3:13:21 PM EDT (1 min. ago)

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3 days ago • u/The-Dumb-Questions • r/quant • heston_calibration • C

> shorter term (<=2 year) cliquets with Heston
You mean for live pricing or for stuff like XVA/CVA? Because IIRC Heston overestimates the decay of the forward skew so you only barely catch the first order skew dynamics and, as result, you'd would have inconsistent prices for structures with different local caps/floors. If I was given a choice, SPS/SVSS of some sort would be my first choice for pricing/managing, followed by Bergomi or (even) a UVM style model.
PS. Used to run a large cliquet book, but it's been a while since I dealt with them, so take my musings with a grain of salt.

3 days ago • u/The-Dumb-Questions • r/quant • heston_calibration • C

> shorter term (<=2 year) cliquets with Heston
You mean for live pricing or for stuff like XVA/CVA? Because IIRC Heston overestimates the decay of the forward skew so you only barely catch the first order skew dynamics and, as result, you'd would have inconsistent prices for structures with different local caps/floors. If I was given a choice, SPS/SVSS of some sort would be my first choice for pricing/managing, followed by Bergomi or (even) a UVM style model.
PS. Used to run a large cliquet book, but it's been a while since I dealt with them, so take my musings with a grain of salt.

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