In the collocating volatility (CLV) model, the stochastic collocation technique is used as a convenient representation of the terminal distribution of the market option prices. A specific dynamic is ...

Deep learning is increasingly used in financial modeling, but its lack of transparency raises risks. Using the well-known Heston option pricing model as a benchmark, researchers show that global ...

It shows the schematic of the physics-informed neural network algorithm for pricing European options under the Heston model. The market price of risk is taken to be λ=0. Automatic differentiation is ...

We extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Heston model, which is also known as the Wishart ...

In 2013, Fabrice Douglas Rouah published The Heston Model and Its Extensions in Matlab and C#. Now, for those who feel more at home with Excel spreadsheets, comes The Heston Model and Its Extensions ...

Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that volatility ...

A comparison of two models for stock market prediction shows clear differences in their accuracy, depending on the length of the forecasting period. Understanding stock market returns hinges on ...