The characteristic functions of many affine jump-diffusion models, such as Heston's
stochastic volatility model and all of its extensions, involve multivalued functions such as the …

The characteristic functions of many affine jump‐diffusion models, such as Heston's
stochastic volatility model and all of its extensions, involve multivalued functions such as the …

We develop a systematic approach to the reduction of dimensionality of smile-enabled
models by projecting them onto a displaced version of the two-dimensional Heston process …

The Heston model is appealing as it possesses a stochastic volatility term as well as semi-
closed formulas for pricing European options. Unfortunately, few simulation schemes for this …

In Heston's stochastic volatility framework [Hes93], semi-analytical formulæ for plain vanilla
option prices can be derived. Unfortunately, these formulæ require the evaluation of …

We deal with discretization schemes for the simulation of the Heston stochastic volatility
model. These simulation methods yield a popular and flexible pricing alternative for pricing …

Stochastic volatility models have replaced Black-Scholes model since they are able to
generate a volatility smile. However, standard models fail to capture the smile slope and …

The Heston model is one of the most popular stochastic volatility models for derivatives
pricing. The model proposed by Heston (1993) takes into account non-lognormal distribution …

We propose a multiscale stochastic volatility model in which a fast mean-reverting factor of
volatility is built on top of the Heston stochastic volatility model. A singular perturbative …

The famous Black-Scholes model was the starting point of a new financial industry and has
been a very important pillar of all options trading since. One of its core assumptions is that …