Monte Carlo methods are in widespread use both in academia and industry. We are, in particular, interested in improving sensitivity estimates obtained from Monte Carlo experiments with respect to given parameter values, motivated by, but not restricted to, financial applications. Denoising and...

We derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular interest is the integral of the variance process over an interval, conditional on the level of the variance at the endpoints....