The characteristic function of rough Heston models
O El Euch, M Rosenbaum - Mathematical Finance, 2019 - Wiley Online Library
It has been recently shown that rough volatility models, where the volatility is driven by a
fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in …
fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in …
Two-dimensional Fourier cosine series expansion method for pricing financial options
MJ Ruijter, CW Oosterlee - SIAM Journal on Scientific Computing, 2012 - SIAM
The COS method for pricing European and Bermudan options with one underlying asset
was developed in [F. Fang and CW Oosterlee, SIAM J. Sci. Comput., 31 (2008), pp. 826 …
was developed in [F. Fang and CW Oosterlee, SIAM J. Sci. Comput., 31 (2008), pp. 826 …
Full and fast calibration of the Heston stochastic volatility model
Y Cui, S del Baño Rollin, G Germano - European Journal of Operational …, 2017 - Elsevier
This paper presents an algorithm for a complete and efficient calibration of the Heston
stochastic volatility model. We express the calibration as a nonlinear least-squares problem …
stochastic volatility model. We express the calibration as a nonlinear least-squares problem …
Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
L Andersen, A Lipton - … Journal of Theoretical and Applied Finance, 2013 - World Scientific
Exponential Lévy processes can be used to model the evolution of various financial
variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted …
variables such as FX rates, stock prices, and so on. Considerable efforts have been devoted …
The Alpha‐Heston stochastic volatility model
We introduce an affine extension of the Heston model, called the‐Heston model, where the
instantaneous variance process contains a jump part driven by‐stable processes with. In this …
instantaneous variance process contains a jump part driven by‐stable processes with. In this …
Reduced basis methods for pricing options with the Black--Scholes and Heston models
In this paper, we present a reduced basis method for pricing European and American
options based on the Black--Scholes and Heston models. To tackle each model numerically …
options based on the Black--Scholes and Heston models. To tackle each model numerically …
Calibrating and pricing with a stochastic-local volatility model
The constant volatility plain vanilla Black-Scholes model is clearly inadequate to reproduce
even plain vanilla option prices observed in the market. Efforts to build a pricing model with …
even plain vanilla option prices observed in the market. Efforts to build a pricing model with …
Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
A Lipton, A Gal, A Lasis - Quantitative Finance, 2014 - Taylor & Francis
Stochastic volatility (SV) and local stochastic volatility (LSV) processes can be used to model
the evolution of various financial variables such as FX rates, stock prices and so on …
the evolution of various financial variables such as FX rates, stock prices and so on …
An affine multicurrency model with stochastic volatility and stochastic interest rates
We introduce a tractable multicurrency model with stochastic volatility and correlated
stochastic interest rates that takes into account the smile in the foreign exchange (FX) market …
stochastic interest rates that takes into account the smile in the foreign exchange (FX) market …
Pseudospectral roaming contour integral methods for convection-diffusion equations
We generalize ideas in the recent literature and develop new ones in order to propose a
general class of contour integral methods for linear convection–diffusion PDEs and in …
general class of contour integral methods for linear convection–diffusion PDEs and in …