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Stochastic Vols

March 11th, 2005, 5:28 pm

Can anyone suggest me a good paper on Stochastic Volatility? I am reading the 2nd paper of the list in Papanicolaou
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Stochastic Vols

March 12th, 2005, 9:19 pm

Heston's '93 paper is widely refered to. Hagan et. al. also had a paper Managing Smile Risk that explains the SABR model fairly well.
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Stochastic Vols

March 13th, 2005, 8:36 am

Sammus and myself are working on this paper using FDM stuffADI (bad with X derivs)Splitting (good)ADE (maybe great?)see FDM CFD thred
Last edited by Cuchulainn on March 12th, 2005, 11:00 pm, edited 1 time in total.
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