The EWMA Heston model

DOI10.1080/14697688.2022.2140699MaRDI QIDQ6101022zbMATH OpenOpenAlexFDO

Authors

Publication date 20 June 2023

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2022.2140699

zbMATH Keywords

Heston modelquadratic rough Heston modelreturns distributionstochastic volatility modeltime-reversal asymmetryvolatility distributionZumbach effect

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70) Financial markets (91G15)

Recommendations

• The randomized Heston model
• The Heston model with stochastic elasticity of variance
• Lifting the Heston model
• Time dependent Heston model
• A multifactor volatility Heston model
• The Alpha‐Heston stochastic volatility model
• Heston model: the variance swap calibration
• Asymptotic arbitrage in the Heston model
• Optimal portfolio for the Heston model
• A hybrid approach for the implementation of the Heston model

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A comparison of biased simulation schemes for stochastic volatility models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Continuous Markov processes and stochastic equations
• Empirical properties of asset returns: stylized facts and statistical issues
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Heterogeneous volatility cascade in financial markets
• scientific article; zbMATH DE number 48318 (Why is no real title available?)
• Lifting the Heston model
• Non‐linear GARCH models for highly persistent volatility
• Optimal approximations of power laws with exponentials: application to volatility models with long memory
• Perfect hedging in rough Heston models
• Quadratic Hawkes processes for financial prices
• The characteristic function of rough Heston models
• Volatility is rough

Cited in

(7)

• EWMA historical volatility estimators
• Lifting the Heston model
• EGARCH Model with Weighted Liquidity
• Volatility is (mostly) path-dependent
• Deep calibration with random grids
• Pricing and calibration in the 4-factor path-dependent volatility model
• Joint deep calibration of the 4-factor PDV model

This page was built for publication: The EWMA Heston model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6101022)