Download This PaperStochastic Volatility I: Heston Model: Analytics
59 Pages Posted: 28 Mar 2010 Last revised: 21 Dec 2013
Date Written: April 17, 2010
Abstract
We consider in these lecture notes analytical topics of the Heston model. Mathematical methods such as Fourier theory, complex analysis, generalized functions and partial differential equations are discussed. To make these theories accessible to students with a standard economic or finance background, we stress intuition and explicit calculations.
Keywords: Stochastic Volatility, Heston Model, Fourier Theory, Complex Analysis, Pricing Equations, Generalized Functions
JEL Classification: A23, C60
Suggested Citation: Suggested Citation
Vanini, Paolo and Padovani, Miret, Stochastic Volatility I: Heston Model: Analytics (April 17, 2010). Available at SSRN: https://ssrn.com/abstract=1579593 or http://dx.doi.org/10.2139/ssrn.1579593
Do you have negative results from your research you’d like to share?
Recommended Papers
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.