In this paper, we present an efficient approach to compute the first and the second order price sensitivities in the Heston model using the algorithmic differentiation approach. Issues related to the applicability of the pathwise method are discussed in this paper as most existing numerical...

There are several kind of models for the generation of a volatility surface, one which is especially popular for the Interest Rates but also for the FX market is the SABR model where it is possible to use an analytical formula for the implied volatility. We derive analytical formulae for...

This study focus on applying the Heston's stochastic volatility model, to the Greek stock market, by estimating the parameters from past data. Specifically, the purpose of the study is to use the stochastic model in order to calculate the parameters of this model using the Maximum Likelihood...