Reduced-Order Modeling for Heston Stochastic Volatility Model
Hacettepe Journal of Mathematics and StatisticsIn this paper, we compare the intrusive proper orthogonal decomposition (POD) with Galerkin projection and the data-driven dynamic mode decomposition (DMD), for Heston's option pricing model. The full order model is obtained by discontinuous Galerkin discretization in space and backward Euler in time.
Sinem Kozpınar +2 more
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The Heston Model with Time-Dependent Correlation Driven by Isospectral Flows
Mathematics, 2021 In this work, we extend the Heston stochastic volatility model by including a time-dependent correlation that is driven by isospectral flows instead of a constant correlation, being motivated by the fact that the correlation between, e.g., financial ...
Long Teng
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SPX Calibration of Option Approximations under Rough Heston Model
Mathematics, 2021 The volatility of stock return does not follow the classical Brownian motion, but instead it follows a form that is closely related to fractional Brownian motion.
Siow Woon Jeng, Adem Kiliçman
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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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American Options in the Volterra Heston Model [PDF]
SIAM Journal on Financial Mathematics, 2022 38 pages, 1 table, 8 figures.
Chevalier, Etienne +2 more
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Comparative study between local and global optimization for Heston model
Ratio Mathematica, 2022 The objective of this study is to estimate the calibration parameters of the Heston stochastic volatility model by the two optimization methods: local and global, then to compare their performances and finally to recommend one of the two methods.
Mohammed Bouasabah
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Amyloid burden and APOE modify sex differences in estimated meta‐temporal region tau onset age [PDF]
Alzheimers DementAbstract Background Recent advances in Alzheimer’s disease (AD) temporal biomarker modeling have revealed considerable heterogeneity in age at amyloid onset, and recently we and others identified sex and APOE differences in tau onset age and subsequent dementia development.
Heston M +12 more
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Heston-GA Hybrid Option Pricing Model Based on ResNet50
Discrete Dynamics in Nature and Society, 2022 (1) Background. This study aims to improve the accuracy of the pricing model. (2) Methods. Heston model is combined with ResNet50 convolutional neural network model. Based on the optimization of Heston model parameters by genetic algorithm (GA), ResNet50
Zheng Yang +3 more
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Subordinate Shares Pricing under Fractional-Jump Heston Model [PDF]
تحقیقات مالی, 2019 Objective: In this paper, while introducing Heston's model of stochastic variance, regarding the jump process and the long-term memory feature of prices, a new model for pricing subordinate shares is presented.
Omid Jenabi, Nazar Dahmardeh Ghaleno
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ESTIMASI VOLATILITAS STOKASTIK CRYPTOCURRENCY BITCOIN MENGGUNAKAN MODEL HESTON-MILSTEIN
E-Jurnal Matematika, 2022 Volatility is a quantity that measures how far a stock or cryptocurrency price moves in a certain period. To measure volatility properly, it can be done by using volatility modeling.
NI PUTU WIDYA ISWARI DEWI +2 more
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