DOHYUN AHN, KYOUNG-KUK KIM, YOUNGHOON KIM, SMALL-TIME SMILE FOR THE MULTIFACTOR VOLATILITY HESTON MODEL, Journal of Applied Probability, Vol. 57, No. 4 (DECEMBER 2020), pp. 1070-1087 ...

Fitting SPX and Vix smiles simultaneously is one of the most challenging problems in volatility modelling. A long-standing conjecture is that it may not be possible to jointly calibrate these two ...

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., ...

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