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A note on the Malliavin differentiability of the Heston volatility [PDF]

We show that the Heston volatility or equivalently the Cox-Ingersoll-Ross process is Malliavin differentiable and give an explicit expression for the derivative.
Christian-Olivier Ewald, Elisa Alòs
core  

Volatility Is Log-Normal—But Not for the Reason You Think

Risks, 2018
It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns—even though it appears so at first sight. However, with a 5-
Martin Tegnér, Rolf Poulsen
doaj   +1 more source

A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model. [PDF]

Comput Econ, 2023
Yoon Y, Kim JH.
europepmc   +1 more source

The EWMA Heston model

, 2022
International audienceThis paper introduces the exponentially weighted moving average (EWMA) Heston model, a Markovian stochastic volatility model able to capture a wide range of empirical features related to volatility dynamics while being more ...
Parent, Léo
core  

On Volatility Swaps for Stock Market Forecast: Application Example CAC 40 French Index

Journal of Probability and Statistics, 2014
This paper focuses on the pricing of variance and volatility swaps under Heston model (1993). To this end, we apply this model to the empirical financial data: CAC 40 French Index. More precisely, we make an application example for stock market forecast:
Halim Zeghdoudi, Abdellah Lallouche, Mohamed Riad Remita   +2 more
doaj   +1 more source

Unbiased estimators for the Heston model with stochastic interest rates

, 2023
We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates.
Zheng, Chao, Pan, Jiangtao
core  

The Derivation of a Multiquadric Variant Solver for the Three-Dimensional Heston-Hull-White PDE

Axioms
The Heston-Hull-White (HHW) model is a generalization of the classical Heston approach that incorporates stochastic interest rates, making it a more accurate representation of financial markets.
Shuai Wang, Ziyang Wang, Yunfei Qi, Tao Liu   +3 more
doaj   +1 more source

Rate of convergence in the Kolmogorov distance for the minimum contrast estimator in the Heston model

European Journal of Mathematics and Applications, 2023
We develop a new explicit estimator of the mean reversion parameter in the Heston model by using the minimum contrast method. We obtain a bound on the Kolmogorov distance for the distribution of the approximate minimum contrast estimator and the normal ...
Jaya P. N. Bishwal
doaj  

Forecasting Latin-American Currency Exchange using Models with Static and Stochastic Volatility

Ingeniería, 2018
Context: The currency market is known as the most liquid market in the financial system. Its strong repercussion in the economy is tied to the capitalization and the impulse that this market offers through the increase of investments and therefore of ...
Laura Camila Roldán Martínez
doaj   +1 more source

Numerical Solution of Heston-Hull-White Three-Dimensional PDE with a High Order FD Scheme

Mathematics, 2019
A new numerical method for tackling the three-dimensional Heston−Hull−White partial differential equation (PDE) is proposed. This PDE has an application in pricing options when not only the asset price and the volatility but also the risk ...
Malik Zaka Ullah
doaj   +1 more source