1
$\begingroup$

I am looking for good bibliographic references on Heston Model and Stochastic volatility models in general.

Does anyone know any good introductory/intermediate references on this topic?

$\endgroup$
1
$\begingroup$

I think the best book about Heston model and globally speaking volatility modeling is the "Stochastic Volatility Modeling" by Lorenzo Bergomi. Website : https://www.lorenzobergomi.com/ Contents : https://docs.wixstatic.com/ugd/c4ff5c_567696475b2343778b36c3725a1ad8ff.pdf

Chapter 6 is about Heston model.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.