Goodness-of-fit of the Heston model
, 2003 An analytical formula for the probability distribution of stock-market returns, derived from the Heston model assuming a mean-reverting stochastic volatility, was recently proposed by Dragulescu and Yakovenko in Quantitative Finance 2002. While replicating their results, we found two significant weaknesses in their method to pre-process the data, which
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Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter [PDF]
In this paper Bayesian methods are applied to a stochastic volatility model using both the prices of the asset and the prices of options written on the asset.
Catherine S. Forbes +2 more
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Host microbiome-pathogen interactions in pediatric infections. [PDF]
Curr Opin Infect Dis, 2023 Hurst JH, Heston SM, Kelly MS.
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Chi-square simulation of the CIR process and the Heston model
, 2008 Simon J. A. Malham, Anke Wiese
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Large and moderate deviations for importance sampling in the Heston model [PDF]
, 2023 Marc Geha +2 more
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Gut inflammation associated with age and Alzheimer's disease pathology: a human cohort study. [PDF]
Sci Rep, 2023 Heston MB +21 more
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GCP III is not the "off-target" for urea-based PSMA ligands. [PDF]
Eur J Nucl Med Mol Imaging, 2023 Lee Z, Heston WD, Wang X, Basilion JP.
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Asymptotic properties and drift parameter estimations of the ergodic double Heston model based on continuous-time observations [PDF]
arXivThe double Heston model is one of the most popular option pricing models in financial theory. It is applied to several issues such that risk management and volatility surface calibration. This paper deals with the problem of global parameter estimations in this model.
arxiv
Implied value-at-risk and model-free simulation. [PDF]
Ann Oper Res, 2022 Bernard C, Perchiazzo A, Vanduffel S.
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Quantifying Uncertainty: Potential Medical Applications of the Heston Model of Financial Stochastic Volatility [PDF]
, 2023 Thomas F Heston
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