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Journal of Banking and Finance, ISSN 0378-4266, 11/2018, Volume 96, pp. 185 - 206
We recommend the addition of a deterministic displacement to multi-factor affine models to calibrate and hedge SPX and VIX derivatives . The proposed model,... 
VIX futures | Stochastic volatility | VIX options | Heston model | Jump-diffusion | Displacement
Journal Article
Journal of Computational and Applied Mathematics, ISSN 0377-0427, 12/2018, Volume 343, pp. 353 - 362
The Heston stochastic volatility model is a standard model for valuing financial derivatives, since it can be calibrated using semi-analytical formulas and... 
Characteristic function | Heston model | Window barrier options | MATHEMATICS, APPLIED | Models | Options (Finance) | Analysis | Foreign exchange | Pricing
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 2007, Volume 83, Issue 2, pp. 413 - 452
We develop and implement a method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a... 
Closed-form likelihood expansions | GARCH model | CEV model | Heston model | Volatility proxies | DIFFUSIONS | MARKET | CONTINUOUS-TIME PROCESSES | OPTIONS | PRICING-MODELS | ARCH MODELS | IMPLICIT | BUSINESS, FINANCE | DENSITIES | EMPIRICAL CHARACTERISTIC FUNCTION | closed-form likelihood expansions | ECONOMICS | volatility proxies | MOMENTS | Monte Carlo method | Analysis | Models
Journal Article
Journal of Futures Markets, ISSN 0270-7314, 05/2019, Volume 39, Issue 5, pp. 538 - 552
This model combines two important stylized features of volatility, the rough behavior consistent with a Hurst parameter less than 0.5, and the regime switching... 
rough Brownian motion | analytic pricing formula | regime switching | full and partial Monte Carlo methods | Heston model | BUSINESS, FINANCE | STOCHASTIC VOLATILITY | Economic models | Volatility | Securities prices | Monte Carlo simulation
Journal Article
SIAM JOURNAL ON FINANCIAL MATHEMATICS, ISSN 1945-497X, 2019, Volume 10, Issue 1, pp. 89 - 129
We propose a randomized version of the Heston model- a widely used stochastic volatility model in mathematical finance-assuming that the starting point of the... 
large deviations | implied volatility | BUSINESS, FINANCE | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | SMILE ASYMPTOTICS | TERM STRUCTURE | BEHAVIOR | SOCIAL SCIENCES, MATHEMATICAL METHODS | stochastic volatility | Heston | asymptotic expansion | JUMPS
Journal Article
JOURNAL OF BANKING & FINANCE, ISSN 0378-4266, 11/2018, Volume 96, pp. 185 - 206
We recommend the addition of a deterministic displacement to multi-factor affine models to calibrate and hedge SPX and VIX derivatives jointly. The proposed... 
PRICES | TRANSFORM ANALYSIS | Jump-diffusion | TERM STRUCTURE MODELS | OPTIONS | Displacement | IMPLICIT | BUSINESS, FINANCE | VIX options | Heston model | VIX futures | Stochastic volatility | RISK PREMIA | ECONOMICS | CO-JUMPS | DERIVATIVES
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 12/2017, Volume 263, Issue 2, pp. 625 - 638
This paper presents an algorithm for a complete and efficient calibration of the Heston stochastic volatility model. We express the calibration as a nonlinear... 
Levenberg–Marquardt method | Model calibration | Optimisation | Heston model | Pricing | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | Levenberg-Marquardt method | OPTIONS
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 08/2019, Volume 276, Issue 3, pp. 1178 - 1192
We consider the problem of calibrating the 3/2 stochastic volatility model to option data. In comparison to the characteristic function of the Heston model,... 
3/2 model | Model calibration | MCMC estimation | Optimization | Pricing | ALGORITHM | EQUATIONS | STOCHASTIC VOLATILITY | OPTIONS | HESTON | IMPLICIT | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | LIKELIHOOD-ESTIMATION | JUMPS | Usage | Planning | Mathematical optimization
Journal Article
SIAM Journal on Financial Mathematics, ISSN 1945-497X, 2010, Volume 1, Issue 1, pp. 289 - 325
Journal Article
Computers and Mathematics with Applications, ISSN 0898-1221, 02/2019, Volume 77, Issue 4, pp. 1107 - 1123
Journal Article
Journal of Computational and Applied Mathematics, ISSN 0377-0427, 03/2018, Volume 330, pp. 141 - 154
This paper presents a fractional version of the Heston model in which the volatility Brownian and price Brownian are replaced by mixed fractional Brownian... 
American option | Mixed fractional Brownian motion | Euler discretization method | Heston model | BROWNIAN-MOTION | MATHEMATICS, APPLIED | STOCHASTIC DIFFERENTIAL-EQUATIONS | PARTICLE SWARM OPTIMIZATION | DRIVEN | PREDICTION | Analysis | Pricing
Journal Article
Applied Mathematics and Optimization, ISSN 0095-4616, 2018, pp. 1 - 18
We prove the existence of an optimal feedback controller for a stochastic optimization problem constituted by a variation of the Heston model, where a... 
Stochastic control | Feedback controller | Hamilton–Jacobi equations | Heston model | Nonlinear parabolic equations | Controllers | Control systems | Feedback control | Martingales
Journal Article
Mathematical Finance, ISSN 0960-1627, 07/2017, Volume 27, Issue 3, pp. 926 - 960
Journal Article
Journal Article
North American Journal of Economics and Finance, ISSN 1062-9408, 04/2019, Volume 48, pp. 272 - 282
Credit value adjustment (CVA) is an important pricing component in the counterparty credit risk (CCR) management. Cliquet options are a popular volatility... 
PDE | Stochastic volatility | Credit value adjustment | Heston model | Counterparty credit risk | Cliquet option | BUSINESS, FINANCE | ECONOMICS | Analysis | Business schools | Differential equations
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 01/2020, Volume 280, Issue 2, pp. 428 - 440
The aim of this paper is to study the fast computation of the lower and upper bounds on the value function for utility maximization under the Heston stochastic... 
Tight lower and upper bounds | Utility maximization | Dual control Monte-Carlo method | Heston stochastic volatility model | Non-HARA and Yaari utilities | ASSET ALLOCATION | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | EXPLICIT SOLUTION | INVESTMENT | OPTIONS | Utility computing | Hamilton-Jacobi equations | Monte Carlo method | Usage | Analysis
Journal Article
Statistics and Probability Letters, ISSN 0167-7152, 07/2018, Volume 138, pp. 116 - 126
We consider a regime switching stochastic volatility model where the stock volatility dynamics is a semi-Markov modulated square root mean reverting process.... 
Föllmer–Schweizer decomposition | Option pricing | Heston model | Regime switching models | Cauchy problem | Health care industry | Models | Analysis | Pricing
Journal Article
Computers and Mathematics with Applications, ISSN 0898-1221, 09/2019, Volume 78, Issue 6, pp. 1993 - 2010
We present a new tree-based numerical approach for options pricing under Heston’s stochastic volatility model. The tree approach is simple to implement,... 
Options pricing | Regime-switching model | Trinomial tree method | Heston model | Finite difference method
Journal Article
STATISTICS & PROBABILITY LETTERS, ISSN 0167-7152, 07/2018, Volume 138, pp. 116 - 126
We consider a regime switching stochastic volatility model where the stock volatility dynamics is a semi-Markov modulated square root mean reverting process.... 
MARKOV-MODULATED MARKET | Option pricing | Heston model | STATISTICS & PROBABILITY | Regime switching models | Cauchy problem | Follmer-Schweizer decomposition
Journal Article
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