Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we … introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence … effects. The finiteness of moments and the second order structure of the volatility, the log returns, as well as their …

implemented and do not contain any numerical integration.These formulas are important in volatility surface construction and CMS …

method consists of specifying the joint distribution of the volatility and underlying at a given expiry and requires the … obtained as one-dimensional integrals. The specification of the volatility function is flexible and allows additional control …

Stochastic volatility models are widely used in interest rate modeling to match the option smiles -- the two most …, Heston-LMM and SABR-LMM respectively.In this paper we consider the CEV model with a general stochastic volatility. Assuming … that rate-volatility correlation is zero we are able to obtain an exact integral representation of the option price …

of stochastic volatility (Heston model) has been introduced in our publications “Complete Analytical Solution of the … model for Stochastic Volatility (SV). Our discovery of the probability density function of the European style Asian Options … constant volatility.All numerical evaluations based on our analytical results are practically instantaneous and absolutely …

volatility (Heston model), enabling complete analytical resolution of all problems associated with American Style Options … volatility (Heston model) is expressive enough to enable derivation for the first time ever of corollary closed-form analytical … constant or stochastic volatility, will be below or above any set of thresholds at termination. Such assessments are absolutely …

://ssrn.com/abstract=2546430). • In this paper we report similar unique results for pricing options in the presence of stochastic volatility … Model. • Our discovery of the probability density function for options with stochastic volatility enables exact closed … the density function for options with stochastic volatility within the Heston model is expressive enough to enable …

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 …. -- Heston model ; vanilla option ; stochastic volatility ; Monte Carlo simulation ; Feller condition ; option pricing with FFT …