Stochastic volatility model combining Heston vol model and CIR++ Fitting the implied volatility surface is generally a complicated affair. Here, Claudio Pacati, Roberto Renò and Manola Santilli ...

We extend previous large deviations results for the randomised Heston model to the case of moderate deviations. The proofs involve the Gärtner–Ellis theorem and sharp large deviations tools. Alòs, E., ...

The quadratic rough Heston model provides a natural way to encode the Zumbach effect in the rough volatility paradigm. Mathieu Rosenbaum and Jianfei Zhang apply multi-factor approximation and use deep ...

Heston Model: A widely used framework that employs coupled stochastic differential equations to describe asset prices and their evolving volatility.

This paper develops a closed-form option valuation formula for a spot asset whose variance follows a GARCH (p, q) process that can be correlated with the returns of the spot asset. It provides the ...

Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that ...