Tap into the power of the most popular stochastic volatility model for pricing equity
derivatives Since its introduction in 1993, the Heston model has become a popular model for …

We derive analytic series representations for European option prices in polynomial
stochastic volatility models. This includes the Jacobi, Heston, Stein–Stein, and Hull–White …

Two of the most important areas in computational finance: Greeks and, respectively,
calibration, are based on efficient and accurate computation of a large number of …

Bayesian inference relies heavily on numerical Markov chain Monte carlo (MCMC) methods
for the estimation of the typically intractable high-dimensional posterior distributions and …

In this paper, we present three new discretization schemes for the Heston stochastic volatility
model-two schemes for simulating the variance process and one scheme for simulating the …

Following the seminal 'Smoking Adjoint'paper by Giles and Glasserman [Smoking adjoints:
Fast monte carlo greeks. Risk, 2006, 19, 88–92], the development of Adjoint Algorithmic …

Practical options pricing for better-informed investment decisions. The Heston Model and Its
Extensions in VBA is the definitive guide to options pricing using two of the derivatives …

We introduce an approach to computing sensitivities of discontinuous integrals. The
methodology is generic in that it only requires knowledge of the simulation scheme and the …

According to Basel III, financial institutions have to charge a credit valuation adjustment
(CVA) to account for a possible counterparty default. Calculating this measure and its …

Abstract Following the seminal “Smoking Adjoint” paper by Giles and Glasserman, 2006, the
development of Adjoint Algorithmic Differentiation (AAD) has revolutionized the way risk is …