Results 201 to 210 of about 27,645 (243)

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
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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
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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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Regime Switching Rough Heston Model

SSRN Electronic Journal, 2017
The 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, 2016
We 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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