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Heston model

Known as: Heston (disambiguation) 
In finance, the Heston model, named after Steven Heston, is a mathematical model describing the evolution of the volatility of an underlying asset… 
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Related topics

Related topics

5 relations
Chen modelCox–Ingersoll–Ross modelMathematical modelMonte Carlo methods for option pricing

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2016
2016
On moment non-explosions for Wishart-based stochastic volatility models
2015
2015
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
Highly Cited
2010
Highly Cited
2010
A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
We propose a multiscale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the… 
Highly Cited
2010
Highly Cited
2010
Convergence of Heston to SVI
In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in… 
Highly Cited
2010
Highly Cited
2010
COMPLEX LOGARITHMS IN HESTON‐LIKE MODELS
The characteristic functions of many affine jump‐diffusion models, such as Heston's stochastic volatility model and all of its… 
Highly Cited
2010
Highly Cited
2010
FX Smile in the Heston Model
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for… 
Review
2008
Review
2008
Volatility Effects on the Escape Time in Financial Market Models
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different… 
Review
2007
Review
2007
Stochastic volatility models
In this chapter we discuss continuous-time stochastic volatility models. By this we mean two-dimensional diffusion models where… 
Highly Cited
2004
Highly Cited
2004
GARCH and volatility swaps
This article discusses the valuation and hedging of volatility swaps within the frame of a GARCH(1,1) stochastic volatility model… 
2001
2001
Small sample performance of dynamic panel data estimators in estimating the growth-convergence equation: A Monte Carlo study
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