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Analysis of numerical integration schemes for the Heston model: a case study based on the pricing of investment certificates [PDF]
Risk Management Magazine, 2023 The Heston model is one of the most used techniques for estimating the fair value and the risk measures associated with investment certificates. Typically, the pricing engine implements a significant number of projections of the underlying until maturity,
Michelangelo Fusaro +2 more
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ROUGH-HESTON LOCAL-VOLATILITY MODEL
International Journal of Theoretical and Applied Finance, 2022 In industrial applications it is quite common to use stochastic-volatility models driven by semi-martingale Markov volatility processes. However, in order to fit exactly market volatilities, these models are usually extended by adding a local-volatility term.
ENRICO DALL’ACQUA +2 more
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The valuation of barrier options under a threshold rough Heston model
Journal of Management Science and Engineering, 2023 In this paper, we propose a novel model for pricing double barrier options, where the asset price is modeled as a threshold geometric Brownian motion time changed by an integrated activity rate process, which is driven by the convolution of a fractional ...
Kevin Z. Tong, Allen Liu
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Asymptotic Behavior of the Fractional Heston Model [PDF]
SIAM Journal on Financial Mathematics, 2018 We consider the fractional Heston model originally proposed by Comte, Coutin and Renault. Inspired by recent ground-breaking work on rough volatility, which showed that models with volatility driven by fractional Brownian motion with short memory allows for better calibration of the volatility surface and more robust estimation of time series of ...
Hamza Guennoun +3 more
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Sources of Variation in Fecal Haptoglobin in a Population of Wild Capuchin Monkeys (Cebus imitator). [PDF]
Am J PrimatolFecal haptoglobin values show significant seasonal variation in wild capuchin monkeys. Values are highest, and most variable in the early‐mid dry season, when fruit is typically scarce and water sources are standing pools, which can accumulate pathogens.
Hernández-Rojas R +6 more
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The Large Maturity Smile for the Heston Model [PDF]
SSRN Electronic Journal, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Martin Forde, Antoine Jacquier
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PERHITUNGAN VALUE AT RISK DENGAN PENDUGA VOLATILITAS STOKASTIK HESTON
E-Jurnal Matematika, 2018 Value at risk is a method that measures financial risk of an security or portfolio. The aims of the research is to find out the value at risk of an exchange rate using the Heston stochastic volatility model. Heston model is a strochastic volatility model
DESAK PUTU DEVI DAMIYANTI +2 more
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MONOTONICITY OF PRICES IN HESTON MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2013 In this article, we study the price monotonicity in the parameters of the Heston model for a contract with a convex pay-off function; in particular we consider European put options. We show that the price is increasing in the constant term in the drift of the variance process and decreasing in the coefficient of the linear term in the drift of ...
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Modeling of Tehran Stock Exchange Overall Index by Heston Stochastic Differential Equation [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2014 In this study, overall index of Tehran Stock Exchange is modeled by Heston stochastic differential equations and its performance is measured. To do this, after a brief introduction of stochastic differential equations, Heston model is explained in more ...
Abdolsadeh Neisy, Moslem Peymany
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Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices
Econometrics, 2023 The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already for several decades. The Heston model, for instance, is based on two coupled SDEs and is often used in financial mathematics for the ...
Jarosław Gruszka , Janusz Szwabiński
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