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 ...

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., ...

CLICK HERE TO DOWNLOAD THE PDF Eduardo Abi Jaber introduces a simple, efficient and accurate numerical scheme that preserves non-negativity for simulating the square-root process. The novel idea is to ...

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

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