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Heston Model Sensitivity Qualitative Property

Here to pen my opinion - not exactly an answer but hopefully it helps with the thought process. The area under the curve or an integral can be both positive and negative (depends if it is above or ...
KaiSqDist's user avatar
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Forward variance in rough heston model

Refer to the paper Perfect hedging in rough Heston models, there is a relation $$ \lambda\theta^0(t) = D^{\alpha+1}(E[V_t]-V_0)+\lambda E[V_t] $$ After substituting this formula into the original ...
Zelin Wu's user avatar
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Deep calibration in the Heston Model

In Horvath et al. (2019), the authors split the procedure into two parts: Training the neural network (NN) Calibrating the network to the current IV surface. This step 'merely' determines the input ...
Achrbot's user avatar
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