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Regime Switching Rough Heston Model
SSRN Electronic Journal, 2017The regime switching rough Heston model has two important features on different time scales. The regime switching is motivated by changes in the long term behaviour. The parameter of the model might change over time due to macro-economic reasons. Therefore we introduce a Markov chain to model the switches in the long term mean of the volatility.
Mesias Alfeus, Ludger Overbeck
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A fractional Heston model with
Stochastics, 2016We present a modification of the classical Heston model, where the volatility process is defined by means of a fractional integration of a diffusion process. Our construction allows us to easily compute a martingale representation for the volatility process.
Elisa Alòs, Yan Yang
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Estimating a Local Heston Model
SSRN Electronic Journal, 2018We develop a new approach to modeling the volatility of stock prices that overcomes well-known problems with using realized volatility as a proxy for integrated volatility. Using high-frequency data for SPY, an exchange-traded fund that tracks the S&P 500, we estimate the parameters of a structural model of stochastic volatility for every trading day ...
Bryan Ellickson +3 more
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ON THE HESTON MODEL WITH STOCHASTIC CORRELATION
International Journal of Theoretical and Applied Finance, 2016The degree of relationship between financial products and financial institutions, e.g. must be considered for pricing and hedging. Usually, for financial products modeled with the specification of a system of stochastic differential equations, the relationship is represented by correlated Brownian motions (BMs).
Teng, Long +2 more
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Regime switching rough Heston model
Journal of Futures Markets, 2019AbstractThis model combines two important stylized features of volatility, the rough behavior consistent with a Hurst parameter less than , and the regime switching property consistent with more long‐term economic considerations. It is nevertheless highly tractable in the sense of semianalytic formulae for European options, and permits a partial Monte ...
Mesias Alfeus +2 more
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FUZZY UNCERTAINTY IN THE HESTON STOCHASTIC VOLATILITY MODEL
FUZZY ECONOMIC REVIEW, 2011Stochastic volatility models for option pricing are suitable to explain many empirical stylized facts in financial markets. Among the other models, Heston provides a good analytical tractability because a quasi closed formula for the price of a European call option can be derived.
Figà Talamanca G. +2 more
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On Singularities in the Heston Model
SSRN Electronic Journal, 2007In this note we provide characterization of the singularities of the Heston characteristic function. In particular, we show that all the singularities are pure imaginary.
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Antibody–drug conjugates: Smart chemotherapy delivery across tumor histologies
Ca-A Cancer Journal for Clinicians, 2022Paolo Tarantino +2 more
exaly
A Multifactor Stochastic Heston Model
2008We model the volatility of a single risky asset using a multifactor (matrix) Wishart affine process, recently introduced in finance by Gourieroux and Sufana. As in standard Duffie and Kan affine models the pricing problem can be solved through the Fast Fourier Transform of Carr and Madan.
DA FONSECA J +2 more
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An overview of real‐world data sources for oncology and considerations for research
Ca-A Cancer Journal for Clinicians, 2022Lynne Penberthy +2 more
exaly