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2018

2018

We characterize the Markovian and affine structure of the Volterra Heston model in terms of an infinite-dimensional adjusted… Expand

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2017

2017

This paper presents an algorithm for a complete and efficient calibration of the Heston stochastic volatility model. We express… Expand

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Highly Cited

2011

Highly Cited

2011

We discuss the Heston [Heston-1993] model with stochastic interest rates driven by Hull-White [Hull,White-1996] (HW) or Cox… Expand

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Highly Cited

2010

Highly Cited

2010

The use of the Heston model is still challenging because it has a closed formula only when the parameters are constant [S. Heston… Expand

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2010

2010

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for… Expand

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Highly Cited

2008

Highly Cited

2008

We model the volatility of a single risky asset using a multifactor (matrix) Wishart affine process, recently introduced in… Expand

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Highly Cited

2008

Highly Cited

2008

This paper deals with the numerical solution of the Heston partial differential equation that plays an important role in… Expand

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Highly Cited

2008

Highly Cited

2008

We develop analytical methodology for pricing and hedging options on the realized variance under the Heston stochastic variance… Expand

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Highly Cited

2006

Highly Cited

2006

The role of characteristic functions in finance has been strongly amplified by the development of the general option pricing… Expand

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Highly Cited

2002

Highly Cited

2002

Abstract We study the Heston model, where the stock price dynamics is governed by a geometrical (multiplicative) Brownian motion… Expand

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