Option Pricing in Practice—Heston’s Stochastic Volatility Model | SpringerLink
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Option Pricing in Practice—Heston’s Stochastic Volatility ModelSascha DesmettreRalf KornTilman SayerChapter
Options are an important building block of modern financial markets. The theory underlying their valuation is one of the showpieces of modern financial mathematics. It includes the Nobel Prize-winning Black–Scholes formula, the most famous result of financial mathematics. However, the log-normal stock price model on which the Black–Scholes formula is based provides only a very rough description of the behavior of real stock price movements. Thus, modern theory includes many proposals for improving the modeling of stock price dynamics. Heston’s stochastic volatility model is a compromise that exhibits theoretically desirable properties on the one hand and numerical tractability on the other. For this reason, it is widely accepted by practitioners. In this chapter, we present and discuss the properties of the Heston model and describe its industrial implementation.Filtration Volatility Vanilla This is a preview of subscription content,
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Sascha Desmettre1Ralf Korn1Tilman Sayer11.Abteilung FinanzmathematikFraunhofer ITWMKaiserslauternGermany
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Stochastic Schrodinger equations
A derivation of stochastic Schrodinger equations is given using quantum filtering theory. We study an open system in contact with its environment, the electromagnetic field. Continuous observation of the field yields information on the system: it is possible to keep track in real time of the best estimate of the system's quantum state given the observations made. This estimate satisfies a stochastic Schrodinger equation, which can be derived from the quantum stochastic differential equation for the interaction picture evolution of system and field together. Throughout the paper we focus on the basic example of resonance fluorescence.
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First Name:Guido
Middle Name:
Last Name:Germano
RePEc Short-ID:pge177
Department of Computer Science, University College London, Gower Street, London WC1E 6BT, United Kingdom
Affiliation
(66%) Systemic Risk CentreLondon School of Economics (LSE) London, United Kingdom
: +44 (0)20
Houghton Street London WC2A 2AE
RePEc:edi:srlseuk ()
(34%) University College London, Department of Computer Science
London, UK
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Working papers
Yiran Cui & Sebastian del Bano Rollin & Guido Germano, 2016.
, arXiv.org.
Yiran Cui & Sebastian del Ba~no Rollin & Guido Germano, 2015.
, arXiv.org, revised May 2016.
Iori, Giulia & Politi, Mauro & Germano, Guido & Gabbi, Giampaolo, 2015.
67565, London School of Economics and Political Science, LSE Library.
Iori Giulia & Politi Mauro & Germano Guido & Gabbi Giampaolo, 2015.
Società editrice il Mulino, issue 2, pages 179-202, December.
Gerardo-Giorda, Luca & Germano, Guido & Scalas, Enrico, 2015.
67563, London School of Economics and Political Science, LSE Library.
Gabbi, G. & Germano, G. & Hatzopoulos, V. & Iori, G. & Politi, M., 2012.
12/06, Department of Economics, City University London.
Mauro Politi & Enrico Scalas & Daniel Fulger & Guido Germano, 2009.
, arXiv.org.
Scalas, Enrico & Germano, Guido & Politi, Mauro & Schilling, René L., 2008.
7341, University Library of Munich, Germany.
Guido Germano & Mauro Politi & Enrico Scalas & Ren'e L. Schilling, 2008.
, arXiv.org, revised Jan 2009.
Marco Patriarca & Anirban Chakraborti & Els Heinsalu & Guido Germano, 2006.
physics/0608174, arXiv.org, revised Aug 2008.
M. Patriarca & A. Chakraborti & E. Heinsalu & G. Germano, 2007.
SEDP Sciences, vol. 57(2), pages 219-224, May.
Marco Patriarca & Anirban Chakraborti & Kimmo Kaski & Guido Germano, 2005.
physics/0504153, arXiv.org, revised May 2005.
Marco Patriarca & Anirban Chakraborti & Guido Germano, 2005.
physics/0506028, arXiv.org.
Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano, 2004.
269, Society for Computational Economics.
Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016.
Elsevier, vol. 251(1), pages 124-134.
Iori Giulia & Politi Mauro & Germano Guido & Gabbi Giampaolo, 2015.
Società editrice il Mulino, issue 2, pages 179-202, December.
Iori, Giulia & Politi, Mauro & Germano, Guido & Gabbi, Giampaolo, 2015.
67565, London School of Economics and Political Science, LSE Library.
M. Politi & E. Scalas & D. Fulger & G. Germano, 2010.
SEDP Sciences, vol. 73(1), pages 13-22, January.
M. Patriarca & A. Chakraborti & E. Heinsalu & G. Germano, 2007.
SEDP Sciences, vol. 57(2), pages 219-224, May.
Marco Patriarca & Anirban Chakraborti & Els Heinsalu & Guido Germano, 2006.
physics/0608174, arXiv.org, revised Aug 2008.
Patriarca, Marco & Chakraborti, Anirban & Germano, Guido, 2006.
Elsevier, vol. 369(2), pages 723-736.
Many of the citations below have been collected in an experimental project,
can be found. These are
citations from works listed in
that could be analyzed mechanically. So far, only a minority of all
works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
Gabbi, G. & Germano, G. & Hatzopoulos, V. & Iori, G. & Politi, M., 2012.
12/06, Department of Economics, City University London.
Temizsoy, Asena & Iori, Giulia & Montes-Rojas, Gabriel, 2015.
Elsevier, vol. 59(C), pages 118-141.
Markus Engler & Vahidin Jeleskovic, 2016.
201648, Philipps-Universit?t Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
Giampaolo Gabbi & Elisa Ticci, 2014.
wpaper47, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
Guido Germano & Mauro Politi & Enrico Scalas & Ren'e L. Schilling, 2008.
, arXiv.org, revised Jan 2009.
Schumer, Rina & Baeumer, Boris & Meerschaert, Mark M., 2011.
Elsevier, vol. 390(3), pages 505-511.
Dexter Cahoy, 2012.
Springer, vol. 27(3), pages 487-497, September.
Scalas, Enrico & Viles, Noèlia, 2014.
Elsevier, vol. 124(1), pages 385-410.
Chen, Zhen-Qing & Kim, Kyeong-Hun & Kim, Panki, 2015.
Elsevier, vol. 125(4), pages .
Marco Patriarca & Anirban Chakraborti & Els Heinsalu & Guido Germano, 2006.
physics/0608174, arXiv.org, revised Aug 2008.
M. Patriarca & A. Chakraborti & E. Heinsalu & G. Germano, 2007.
SEDP Sciences, vol. 57(2), pages 219-224, May.
Sokolov, Andrey & Melatos, Andrew & Kieu, Tien, 2010.
Elsevier, vol. 389(14), pages .
Kiran Sharma & Anirban Chakraborti, 2016.
, arXiv.org.
Andrey Sokolov & Andrew Melatos & Tien Kieu, 2010.
, arXiv.org.
Marco Patriarca & Anirban Chakraborti & Kimmo Kaski & Guido Germano, 2005.
physics/0504153, arXiv.org, revised May 2005.
Chakrabarti, Anindya S. & Chakrabarti, Bikas K., 2010.
Kiel Institute for the World Economy (IfW), vol. 4, pages 1-31.
Els Heinsalu & Marco Patriarca, 2014.
SEDP Sciences, vol. 87(8), pages 1-10, August.
Anindya S. Chakrabarti, 2011.
, arXiv.org.
Kiran Sharma & Anirban Chakraborti, 2016.
, arXiv.org.
Patriarca, Marco & Chakraborti, Anirban & Germano, Guido, 2006.
Elsevier, vol. 369(2), pages 723-736.
John Angle, 2006.
427, LIS Cross-National Data Center in Luxembourg.
Angle, John, 2006.
Elsevier, vol. 367(C), pages 388-414.
Marco Patriarca & Anirban Chakraborti & Guido Germano, 2005.
physics/0506028, arXiv.org.
Jan Lorenz & Fabian Paetzel & Frank Schweitzer, "undated".
ETH-RC-12-018, ETH Zurich, Chair of Systems Design.
Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011.
hal-, HAL.
Chakrabarti, Anindya S. & Chakrabarti, Bikas K., 2010.
Kiel Institute for the World Economy (IfW), vol. 4, pages 1-31.
Jan Lorenz & Fabian Paetzel & Frank Schweitzer, 2012.
, arXiv.org.
Sebastian Guala, 2009.
Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 7(1), pages 1-7.
Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016.
Elsevier, vol. 251(1), pages 124-134.
Cui, Yiran & del Ba?o Rollin, Sebastian & Germano, Guido, 2017.
Elsevier, vol. 263(2), pages 625-638.
Kenichiro Shiraya, 2016.
CARF-F-397, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017.
, arXiv.org.
Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017.
Elsevier, vol. 262(1), pages 381-400.
Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017.
, arXiv.org.
M. Patriarca & A. Chakraborti & E. Heinsalu & G. Germano, 2007.
SEDP Sciences, vol. 57(2), pages 219-224, May.
Marco Patriarca & Anirban Chakraborti & Els Heinsalu & Guido Germano, 2006.
physics/0608174, arXiv.org, revised Aug 2008.
See citations under working paper version above.
Patriarca, Marco & Chakraborti, Anirban & Germano, Guido, 2006.
Elsevier, vol. 369(2), pages 723-736.
Anindya S. Chakrabarti, 2017.
SSociety for Economic Science with Heterogeneous Interacting Agents, vol. 12(1), pages 1-26, April.
Chakrabarti, Anindya S., 2011.
Elsevier, vol. 390(23), pages .
Sebastian Guala, 2009.
Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, vol. 7(1), pages 1-7.
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announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
: Banking (2)
: Computational Economics (1)
: European Economics (1)
: Econometric Time Series (1)
: Financial Markets (1)
: Monetary Economics (1)
: Operations Research (1)
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