The Heston model is one of the most popular stochastic volatility models for Equity and FX modelling. Although it was developed more than fifteen years ago, its understanding is still not complete and many recent publications have addressed deep theoretical and implementation issues. We review...

Using the Gartner-Ellis theorem from large deviation theory, we characterize the leading-order behaviour of call option prices under the Heston model, in a new regime where the maturity is large and the log-moneyness is also proportional to the maturity. Using this result, we then derive the...

We show that if the discounted Stock price process is a continuous martingale, then there is a simple relationship linking the variance of the terminal Stock price and the variance of its arithmetic average. We use this to establish a model-independent upper bound for the price of a continuously...

In this paper we prove an approximate formula expressed in terms of elementary functions for the implied volatility in the Heston model. The formula consists of the constant and first order terms in the large maturity expansion of the implied volatility function. The proof is based on...

We study here the large-time behavior of all continuous affine stochastic volatility models (in the sense of Keller-Ressel) and deduce a closed-form formula for the large-maturity implied volatility smile. Based on refinements of the Gartner-Ellis theorem on the real line, our proof reveals...

This note identifies a gap in the proof of Corollary 2.4 in [2], which arises because the essential smoothness of the family (Xt/t) can fail for the log-spot process X in the Heston model, and describes how to circumvent the issue by applying a standard argument from large deviation theory

In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility smile in such a way as to guarantee the absence of static arbitrage. In particular, we exhibit a large class of arbitrage-free SVI volatility surfaces with a simple closed-form...

We propose a randomised version of the Heston model -- a widely used stochastic volatility model in mathematical finance -- assuming that the starting point of the variance process is a random variable. In such a system, we study the small- and large-time behaviours of the implied volatility,...

In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the Heston model as the maturity approaches zero. We prove that the forward smile for out-of-the-money options explodes and compute a closed-form high-order expansion detailing the...

We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Levy models.This expansion applies to both small and large maturities and...