Heston 2010

31 Pages Posted: 28 Feb 2011 Last revised: 7 Mar 2011

See all articles by Antoine (Jack) Jacquier

Antoine (Jack) Jacquier

Imperial College London; The Alan Turing Institute

Claude Martini

Zeliade Systems

Date Written: March 2011


The Heston model is one of the most popular stochastic volatility models for Equity and FX modelling. Although it was developed more than fifteen years ago, its understanding is still not complete and many recent publications have addressed deep theoretical and implementation issues. We review here some recent results on this model up to and including year 2010.

Keywords: Heston, stochastic volatility, calibration, pricing, implied volatility

JEL Classification: C63, G12, G13

Suggested Citation

Jacquier, Antoine and Martini, Claude, Heston 2010 (March 2011). Available at SSRN: https://ssrn.com/abstract=1769744 or http://dx.doi.org/10.2139/ssrn.1769744

Antoine Jacquier (Contact Author)

Imperial College London ( email )

South Kensington Campus
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://wwwf.imperial.ac.uk/~ajacquie/

The Alan Turing Institute ( email )

British Library, 96 Euston Road
London, NW12DB
United Kingdom

Claude Martini

Zeliade Systems ( email )


HOME PAGE: http://www.zeliade.com

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