We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price … volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility … dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice …

same. As a concrete example, we specialize to a variant of the Hull-White or Heston model for which the Sharpe ratio is …

analytical solution of the Heston model with stochastic volatility. …

study of a new model, the delayed Heston model, which improves the volatility surface fitting as compared with the classical … Heston model. The author calculates variance and volatility swaps for this model and provides hedging techniques. The book …>Modeling and Pricing of Swaps for Heston Model</li> <li>Modeling and Pricing of Variance Swaps for Stochastic Volatilities with …