A project that implements the Heston stochastic volatility model to simulate asset prices and variance over time. The project explores the dynamics of asset prices under varying volatility structures ...

Stochastic Volatility Option Pricing using the Heston Model This project explores how stochastic volatility models, particularly the Heston model, enhance option pricing accuracy and hedging ...

In the collocating volatility (CLV) model, the stochastic collocation technique is used as a convenient representation of the terminal distribution of the market option prices. A specific dynamic is ...

SIAM Journal on Numerical Analysis, Vol. 55, No. 3 (2017), pp. 1243-1263 (21 pages) The Heston stochastic volatility model is one of the most fundamental models in mathematical finance. In the ...

We consider the optimal investment problem with power utility from terminal wealth in a market with borrowing and a Heston stochastic volatility model. This is an optimal stochastic control problem ...

We prove that the Heston volatility is Malliavin differentiable under the classical Novikov condition and give an explicit expression for the derivative. This result guarantees the applicability of ...

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

Abstract In the collocating volatility (CLV) model, the stochastic collocation technique is used as a convenient representation of the terminal distribution of the market option prices. A specific ...