Stochastic Volatility I: Heston Model: Analytics
59 Pages Posted: 28 Mar 2010 Last revised: 21 Dec 2013
Date Written: April 17, 2010
We consider in these lecture notes analytical topics of the Heston model. Mathematical methods such as Fourier theory, complex analysis, generalized functions and partial differential equations are discussed. To make these theories accessible to students with a standard economic or finance background, we stress intuition and explicit calculations.
Keywords: Stochastic Volatility, Heston Model, Fourier Theory, Complex Analysis, Pricing Equations, Generalized Functions
JEL Classification: A23, C60
Suggested Citation: Suggested Citation