Results 171 to 180 of about 2,164 (216)

How a Medicinal Chemistry Project Changed the Way Prostate Cancer is Diagnosed and Treated. [PDF]

J Med Chem
Kozikowski AP, Neale J.
europepmc   +1 more source

Evaluating Generative AI Psychotherapy Chatbots Used by Youth: Cross-Sectional Study.

JMIR Ment Health
Sobowale K, Humphrey DK, Zhao SY.
europepmc   +1 more source

Spot inversion in the Heston model

, 2021
openaire   +1 more source

MODERN LOGARITHMS FOR THE HESTON MODEL [PDF]

International Journal of Theoretical and Applied Finance, 2007
We give a simple proof that in applications there is no need to track the branch-cut of the complex logarithm in the Heston model when using the Lewis-Lipton formula in the right way.
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Markovian projection onto a Heston model

The Journal of Computational Finance, 2007
We develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process. The projection is the key for deriving efficient, analytical approximations to European option prices in such models.
Alexandre Antonov, Timur Misirpashaev, Vladimir Piterbarg   +2 more
openaire   +1 more source

Complex Logarithms in Heston-Like Models

SSRN Electronic Journal, 2008
Summary: The characteristic functions of many affine jump-diffusion models, such as Heston's stochastic volatility model and all of its extensions, involve multivalued functions such as the complex logarithm. If we restrict the logarithm to its principal branch, as is done in most software packages, the characteristic function can become discontinuous,
Lord, Roger, Kahl, Christian
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The Heston Model

2017
In this chapter we introduce the subject of volatility modelling. Some issues have already been tackled in Kienitz (2014). We start with a short general introduction.
Jörg Kienitz, Peter Caspers
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Heston Model: The Variance Swap Calibration

SSRN Electronic Journal, 2013
This paper proposes an alternative methodology to derive starting values for parameters of the Heston model. The term structure of variance swap prices is inferred from the option price surface by means of the spanning option payoff formula given by \textit{D. T. Breeden} and \textit{R. H.
Guillaume, Florence, Schoutens, Wim
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