The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists a fast and easily implemented semi-analytical...

Cover -- Title Page -- Copyright -- Contents -- List of Tables -- List of Figures -- Preface -- About the Author -- Acknowledgments -- Chapter 1: Foreign Exchange Derivatives -- 1.1 Literature Review -- 1.2 A Journey through the History of Options -- 1.3 Currency Options -- 1.4 Technical Issues...