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Paper / 2020SMQ / 275347023193934
Series expansions and direct inversion for the Heston model
Anke Wiese / Jiaqi Shen / Simon J. A. Malham
numerical methods / stochastic processesResource overview

Series expansions and direct inversion for the Heston model

Paper2020

by Anke Wiese, Jiaqi Shen, Simon J. A. Malham

Tags
numerical methodsstochastic processes

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Suggested foundations for volatility models and surfaces and stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Conditional Expectation

    Understand what it means to condition on current information.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

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Explore Advanced Derivatives and Exotic Options Explore Derivatives Pricing and Computational Finance

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