A single parameter, termed the mixing fraction, is used to calibrate current localstochastic volatility (LSV) models to traded exotic prices as well as vanilla options. This single parameter has been ...

We extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Heston model, which is also known as the Wishart ...

Stochastic volatility models have been a major focus of quantitative research for more than two decades. Those days may be over. In August, Artur Sepp and Parviz Rakhmonov published a paper in ...

Monte Carlo simulations have become a cornerstone in quantitative finance, particularly in the pricing of complex options and in modelling volatility dynamics. This numerical method employs random ...