Stochastic Volatility I: Heston Model: Analytics

59 Pages Posted: 28 Mar 2010 Last revised: 21 Dec 2013

See all articles by Paolo Vanini

Paolo Vanini

University of Basel

Miret Padovani

Vienna University of Economics and Business

Date Written: April 17, 2010

Abstract

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

Vanini, Paolo and Padovani, Miret, Stochastic Volatility I: Heston Model: Analytics (April 17, 2010). Available at SSRN: https://ssrn.com/abstract=1579593 or http://dx.doi.org/10.2139/ssrn.1579593

Paolo Vanini (Contact Author)

University of Basel ( email )

Petersplatz 1
Basel, CH-4003
Switzerland

Miret Padovani

Vienna University of Economics and Business ( email )

Welthandelsplatz 1
Vienna, Wien 1020
Austria

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