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Microsoft Word - Byelkina Levin - Extended Multi-factor Affine Heston Model - BFS 2010.doc
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Document Date: 2010-06-22 13:20:46

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File Size: 226,63 KB

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City

Toronto / Montreal / London / Royal Bank / /

Company

Elsevier Science B.V. / Bank of Montreal / John Wiley & Sons / Royal Bank of Canada / /

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Facility

Tinbergen Institute / /

IndustryTerm

closed-form solution / /

Organization

Bachelier Finance Society / World Congress / Tinbergen Institute / Bank of Canada / BFS Congress / /

Person

Heston Model / Alex Levin / /

Position

General / Model for Basket Options and Volatility Derivatives / model for multiple assets and stochastic interest rates / /

PublishedMedium

Journal of Financial Economics / The Review of Financial Studies / The Journal of Finance / /

Technology

ATM / simulation / /

SocialTag