Time dependent Heston model
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- Calibration and simulation of Heston model
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- General approximation schemes for option prices in stochastic volatility models
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- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
- On calibration of stochastic and fractional stochastic volatility models
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- High-order compact finite difference scheme for option pricing in stochastic volatility models
- Heston stochastic vol-of-vol model for joint calibration of VIX and S\&P 500 options
- Implied volatility of basket options at extreme strikes
- New approximations in local volatility models
- Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
- Expansion formulas for European quanto options in a local volatility FX-LIBOR model
- Decomposition formula for jump diffusion models
- The dynamic correlation model and its application to the Heston model
- Expansions asymptotiques pour équations paraboliques dégénérées
- Efficient pricing and reliable calibration in the Heston model
- Approximate option pricing in the Lévy Libor model
- Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation
- Decomposition formula for rough Volterra stochastic volatility models
- Application of power series approximation techniques to valuation of European style options
- On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions
- Pricing multi-asset American option under Heston-CIR diffusion model with jumps
- Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
- American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis
- On upper functions for integral quadratic functionals based on time-varying Ornstein-Uhlenbeck process
- Closed-form expansions of discretely monitored Asian options in diffusion models
- Explicit implied volatilities for multifactor local-stochastic volatility models
- Stochastic Volatility Model with Time‐dependent Skew
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
- Malliavin differentiability of the Heston volatility and applications to option pricing
- Symmetry analysis of a model of stochastic volatility with time-dependent parameters
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
- The EWMA Heston model
- Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility
- Approximate option pricing under a two-factor Heston-Kou stochastic volatility model
- Rough Heston Models with Variable Vol-of-Vol and Option Pricing
- Seasonal volatility in agricultural markets: modelling and empirical investigations
- Short time behavior of the ATM implied skew in the ADO-Heston model
- A novel term-structure-based Heston model for implied volatility surface
- Deep neural networks for probability of default modelling
- On the convergence order of the Euler scheme for scalar SDEs with Hölder-type diffusion coefficients
- Closed-form expansion of option prices under stochastic volatility model
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- A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
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