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Heston model
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11	2011 International Conference on Reconfigurable Computing and FPGAs An Energy Efﬁcient FPGA Accelerator for Monte Carlo Option Pricing with the Heston Model Christian de Schryver, Ivan Shcherbakov, Frank Kienle, Norbe Add to Reading List Source URL: ems.eit.uni-kl.de Language: English - Date: 2012-02-27 11:00:29 Finance Electronic engineering Digital electronics Stochastic processes Reconfigurable computing Xilinx Field-programmable gate array Parallel computing Valuation of options Options Financial economics Mathematical finance
12	Calibrating to Market Data … Getting the Model into Shape - Tutorial on Reconfigurable Architectures in Finance Add to Reading List Source URL: lis.ei.tum.de Language: English - Date: 2014-09-04 05:08:50 Investment Heston model Stochastic volatility Black–Scholes Volatility Option Mathematical finance Financial economics Finance
13	Small-Time Asymptotics of Option Prices and First Absolute Moments ∗ Johannes Muhle-Karbe Add to Reading List Source URL: www.math.columbia.edu Language: English - Date: 2011-07-12 11:26:18 Mathematical finance Martingale theory Itō calculus Stochastic calculus Martingale Lévy process Heston model Black–Scholes Brownian motion Statistics Stochastic processes Probability theory
14	Chicago Booth Paper NoResolution of Policy Uncertainty and Sudden Declines in Volatility Dante Amengual Centro de Estudios Monetarios y Financieros Add to Reading List Source URL: faculty.chicagobooth.edu Language: English - Date: 2014-09-13 10:12:51 Economics Volatility VIX Variance swap Stochastic volatility Valuation of options Autoregressive conditional heteroskedasticity Implied volatility Heston model Mathematical finance Finance Financial economics
15	PDF Document Add to Reading List Source URL: www.icms.polyu.edu.hk Language: English - Date: 2012-12-14 04:30:33 Finance Stochastic processes Options Stochastic volatility Black–Scholes Stochastic differential equation Heston model Quantitative analyst Volatility Mathematical finance Financial economics Statistics
16	FAST AND ACCURATE LONG STEPPING SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL JIUN HONG CHAN AND MARK JOSHI Abstract. In this paper, we present three new discretization schemes for the Heston stochastic volatility Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:12:15 Poisson processes Probability theory Data analysis Normal distribution Poisson distribution Exponential distribution Variance Gamma distribution Characteristic function Statistics Mathematical analysis Probability and statistics
17	FOURIER TRANSFORMS, OPTION PRICING AND CONTROLS MARK JOSHI AND CHAO YANG Abstract. We incorporate a simple and effective control-variate into Fourier inversion formulas for vanilla option prices. The control-variate used Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:14:54 Options Finance Stochastic processes Fourier analysis Heston model Black–Scholes Fourier transform Implied volatility Stochastic volatility Mathematical finance Mathematical analysis Financial economics
18	FIRST AND SECOND ORDER GREEKS IN THE HESTON MODEL JIUN HONG CHAN AND MARK JOSHI Abstract. In this paper, we present an efficient approach to compute the first and the second order price sensitivities in the Heston model Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:23:08 Mathematical finance Stochastic processes Equations Numerical analysis Normal distribution Black–Scholes Discretization Variance Heston model Statistics Mathematics Mathematical analysis
19	Global contagion of volatilities and volatility risk premiums Add to Reading List Source URL: www.bis.org Language: English - Date: 2010-06-03 01:57:00 Investment Volatility Implied volatility Stochastic volatility Black–Scholes VIX Heston model Realized variance Futures contract Mathematical finance Financial economics Finance
20	TESTING TECHNIQUES FOR ESTIMATING IMPLIED RNDS FROM THE PRICES OF EUROPEAN-STYLE OPTIONS Abstract: This paper examines two approaches to estimating implied risk-neutral probability density functions from the prices of Eu Add to Reading List Source URL: www.bis.org Language: English - Date: 2005-12-12 06:16:57 Options Investment Stochastic volatility Volatility smile Implied volatility Volatility Heston model Black–Scholes Local volatility Mathematical finance Financial economics Finance