Essays about: "Heston"

Showing result 1 - 5 of 42 essays containing the word Heston.

  1. 1. Implementation and evaluation of the Heston-Queue-Hawkes option pricing model

    University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

    Author : Samuel Rosén; [2023]
    Keywords : HQH; Heston Queue Hawkes; Option Pricing; jump diffusion;

    Abstract : Introduction: This thesis presents a python implementation and evaluation of the Heston-Queue-Hawkes (HQH) model, a recent jump-diffusion model for pricing options. The model is capable of tracking options for a wide range of different underlying assets. READ MORE

  3. 2. Credit Exposure Modelling Using Differential Machine Learning

    University essay from Lunds universitet/Matematisk statistik

    Author : Måns Karp; Samuel Wagner; [2023]
    Keywords : Counterparty credit risk; Differential machine learning; Exposure modelling; Heston model; Option pricing; Mathematics and Statistics;

    Abstract : Exposure modelling is a critical aspect of managing counterparty credit risk, and banks worldwide invest significant time and computational resources in this task. One approach to modelling exposure involves pricing trades with a counterparty in numerous potential future market scenarios. READ MORE

  4. 3. Option pricing with Quadratic Rough Heston Model

    University essay from Uppsala universitet/Sannolikhetsteori och kombinatorik

    Author : Marina Dushkina; [2023]
    Keywords : option pricing; rough volatility models; Heston model; Monte Carlo methods; calibration; quadratic rough Heston model; volatility smile;

    Abstract : In this thesis, we study the quadratic rough Heston model and the corresponding simulation methods. We calibrate the model using real-world market data. We compare and implement the three commonly used schemes (Hybrid, Multifactor, and Multifactor hybrid). We calibrate the model using real-world market SPX data. READ MORE

  5. 4. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model

    University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Author : Nicolas Kuiper; Martin Westberg; [2023]
    Keywords : Runge–Kutta Lawson scheme; Heston model; Black–Scholes model; Stochastic Differential Equation; Euler–Maruyama scheme; Midpoint scheme; Monte Carlo; European Options; Asian Options; Option pricing.;

    Abstract : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. READ MORE

  6. 5. Artificial Intelligence for Option Pricing

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Emil Hietanen; [2022-06-19]
    Keywords : Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

    Abstract : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. READ MORE