Similar Items: Application of Effective Markovian Projection to SABR and Heston Models
- Asymptotics of the Rough Heston Model
- Approximating the Heston-Hull-White Model
- Volatility derivatives in the Heston framework
- A survey and implementation of some calibration algorithms for the SABR and Heston models
- Characteristic function pricing with the Heston-LIBOR hybrid model
- The double Heston model via filtering methods