Asymptotics of the Rough Heston Model
, 2021 The recent explosion of work on rough volatility and fractional Brownian motion has led to the development of a new generation of stochastic volatility models. Such models are able to capture a wide range of stylised facts that classical models simply do not.
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Strain-resolved metagenomic analysis of the gut as a reservoir for bloodstream infection pathogens among premature infants in Singapore. [PDF]
Gut Pathog, 2023 Heston SM +5 more
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Interpretability in deep learning for finance: a case study for the Heston model
, 2021 Damiano Brigo +3 more
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Test data sets for calibration of stochastic and fractional stochastic volatility models
Data in Brief, 2016 Data for calibration and out-of-sample error testing of option pricing models are provided alongside data obtained from optimization procedures in ''On calibration of stochastic and fractional stochastic volatility models'' [1].
Jan Pospíšil, Tomáš Sobotka
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Impact of rough stochastic volatility models on long-term life insurance pricing. [PDF]
Eur Actuar J, 2023 Dupret JL, Barbarin J, Hainaut D.
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Option Pricing Accuracy for Estimated Heston Models
, 2014 Robert Azencott +2 more
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An ADI Sparse Grid method for Pricing Efficiently American Options under the Heston Model
, 2021 Anna Clevenhaus +2 more
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EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS
, 2014 Lokman Abbas-Turki, Damien Lamberton
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Adaptive calibration of Heston Model using PCRLB based switching Filter
, 2021 Kumar Yashaswi
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Empirical study and model simulation of global stock market dynamics during COVID-19. [PDF]
Chaos Solitons Fractals, 2022 Jin L +6 more
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