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 …

The aim of this article is to provide a systematic analysis of the conditions such that Fourier
transform valuation formulas are valid in a general framework; ie when the option has an …

Numerous publications take a perfect recovery of the actual parameters during a calibration
of stochastic volatility models, such as the Heston model and other continuous option pricing …

Fourier transform techniques are playing an increasingly important role in Mathematical
Finance. For arbitrary stochastic price processes for which the characteristic functions are …

The implied volatility surface (IVS) is a fundamental building block in computational finance.
We provide a survey of methodologies for constructing such surfaces. We also discuss …

This book addresses the applications of Fourier transform to smile modeling. Smile effect is
used generically by? nancial engineers and risk managers to refer to the inconsistences of …

Many commodity markets contain a strong seasonal component not only at the price level,
but also in volatility. In this paper, the importance of seasonal behavior in the volatility for the …

We tackle the calibration of the Stochastic Local-Volatility (SLV) model. This is the class of
financial models that combines the local volatility and stochastic volatility features and has …

Calibrating option pricing models to market prices often leads to optimisation problems to
which standard methods (such as those based on gradients) cannot be applied. We …

We focus on closed-form option pricing in Heston's stochastic volatility model, where closed-
form formulas exist only for a few option types. Most of these closed-form solutions are …