Global ETD Search
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Showing 1 to 20 of 49 for “"Heston"”.
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Asymptotics of the Rough Heston Model
… cumulant generating function of the Fractional Heston model as presented in Guennoun et al. (2018). These formulae and their effectiveness for small-time pricing are interrogated and compared against the Rough Heston model proposed in El Euch and Rosenbaum (2019).
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Approximating the Heston-Hull-White Model
The hybrid Heston-Hull-White (HHW) model combines the Heston (1993) stochastic volatility and Hull and White (1990) short rate models. Compared to stochastic volatility models, hybrid models improve upon the pricing and hedging of longdated options and equity-interest rate hybrid claims. When the …
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Volatility derivatives in the Heston framework
… explores the construction and calibration of the Heston stochastic volatility model and the pricing of some volatility derivatives within this framework.
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The Lifted Heston Stochastic Volatility Model
… models? We show that, in terms of skew, the Heston model cannot match the market at both long and short maturities simultaneously. We introduce Abi Jaber (2019)'s Lifted Heston model and explain how to price options with it using both the cosine method and standard Monte-Carlo techniques. …
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Efficient implementation of the Heston-Hull & White model
… for the characteristic function of the Heston-Hull&White model introduced by Grzelak and Oost- erlee (2011). Fourier-Cosine expansion pricing, due to Fang and Oosterlee (2008), is then used to price contingent claims under this model, which is implemented in MATLAB. We find that the …
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Characteristic function pricing with the Heston-LIBOR hybrid model
… function for a simplified version of the Heston-LIBOR model, which assumes a constant instantaneous volatility structure in the underlying LIBOR market model. We also implement measures to improve the numerical stability of the characteristic function derived in this dissertation as well …
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Application of Effective Markovian Projection to SABR and Heston Models
… Projection is used to obtain equivalent Heston model parameters from a range of SABR models with different skew parameters using two distinct point-matching algorithms. The implied parameters are used to price European claims under a variety of schemes in order to outline the efficacy in …
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Parameter estimation of a bivariate diffusion process : the Heston model
… research is to estimate the parameters on the Heston (1993) model, which models the movement of asset prices assuming that the asset price volatility is stochastic. The paper concentrates on estimating these parameters by approximating the transitional probabilities of the diffusion process …
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Parametric Estimation of the Heston Model under the Indirect Observability Framework
… In part II (Chapters 3 and 4), we introduce the Heston model and the associated realized variance process as an application of the general theorem in the first part of the dissertation. In order to apply the general theorem, we show that the variance process from the Heston model satisfies all …
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A survey and implementation of some calibration algorithms for the SABR and Heston models
… some calibration methods for the SABR and Heston models. Hagan (2002) examined the effect of the SABR parameters on the skew in order to determine which parameters may be redundant. Hagan andWest (2005) found that by fixing one of the parameters in the SABR model, the remaining parameters …
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Two dimensional COS method for pricing early-exercise and discrete barrier options under the Heston Model
… and barrier options under the dynamics of the Heston stochastic volatility model. The two-dimensional nature of the Heston model makes the pricing of these options problematic, as the risk-neutral expectations need to be calculated at each exercise/observation date along a continuum of the two …
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A review of current Rough Volatility Methods
… kernel. One such model is called the Rough Heston, an extension of the Classical Heston model, and is the main model of focus for this dissertation. To implement the Rough Heston, fractional Riccati ordinary differential equations (ODEs) must be solved; and this requires numerical methods. …
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Applications of Gaussian Process Regression to the Pricing and Hedging of Exotic Derivatives
… under stochastic volatility models like the Heston model. The purpose of this research is to apply the Gaussian Process Regression (GPR) method to the pricing and hedging of exotic options under the Black-Scholes and Heston model. GPR is a supervised machine learning technique which makes use …
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Break-Even Volatility
… to MATLAB. We extend the methodology to the Heston model by changing the reference model in the hedging process. Resultantly, the need to employ characteristic function pricing methods arises to calculate the Heston model sensitivities. The break-even volatility solution is then found by …
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Calibrating the Hurst Parameter for Rough Volatility Models with Application in the South African Market
… and risk management purposes. Under the rough Heston model proposed by El Euch et al. (2019), the Hurst parameter governs the roughness of the volatility process. This dissertation explores the different calibration methods used to obtain an estimate for the Hurst parameter, under the scope of …
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Volatility Model Pricing and Calibration with Neural Networks using Bayesian Optimisation
Stochastic Alpha, Beta, Rho (SABR) and Heston Volatility models have been used in the financial industry due to their ability to price options as a function of time to maturity and moneyness. Implied volatilities for these models are accurately estimated using a numerical integration approach, …
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Model Misspecification and the Hedging of Exotic Options
… models here - the Black-Scholes model, the Heston model and the Merton (1976) model. For each asset pricing model we test the hedge effectiveness of delta hedging, minimum variance hedging and static hedging, where appropriate. The options hedged under the aforementioned techniques and asset …
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Option Pricing models with Stochastic Volatility and Jumps
… variant of this type of model (which is based on Heston-type stochastic volatility and Kou-type double exponential jumps in the log price), is presented and tested. The Heston SV model is ranked third best. There is a significant performance gap between the SV/SVJ models and the remaining models. …
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Pricing stochastic volatility models using random grids
… this random grids approach for pricing under the Heston model as well as the stochastic local volatility model. Consistent results are obtained for a call option under the various pricing methods using similar parameters as those used in the random grids paper. More specifically, when using a …
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