Results 101 to 110 of about 13,841,708 (205)

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

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

The rough Heston model and option pricing

, 2021
LAUREA MAGISTRALEL’analisi del modello rough Heston e il suo utilizzo nell’ambito del pricing di opzioni sono di indubbio interesse e attualità. Infatti, negli ultimi anni l’introduzione del modello di volatilità stocastica rough ha attirato grande ...
Lischetti, Maddalena
core  

Laura E. Heston Interview

, 1982
Laura E. Heston was born on March 16, 1894, in Toledo, Ohio. She descended from two of Toledo's pioneer families, the Whitney family and the Collins family.
Heston, Laura
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The double Heston model via filtering methods [PDF]

, 2016
Thesis (MSc)--Stellenbosch University, 2016ENGLISH ABSTRACT : Stochastic volatility models are well-known for their ability to generate a volatility smile for financial securities.
Namundjebo, Elia N
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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

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  

Spot inversion in the Heston model

, 2021
We analyse the Heston stochastic volatility model under an inversion of spot. The result is that under the appropriate measure changes the resulting process is again a Heston type process whose parameters can be explicitly determined from those of the ...
Baño Rollin, Sebastian del, Universitat Autònoma de Barcelona. Centre de Recerca Matemàtica   +1 more
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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

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   +1 more source