Hallo,everybody.I'm a beginner in financial engineering and i have a question regarding to the Heston Model. The heston model has such a form: dS_t=\mu_t S_t dt+\sigma_t S_t dW_t^{1} d \sigma_t^2=(\alpha - \beta \sigma_t^{2}) dt+ \gamma \sigma_t dW_t^{2} with (W_t^{1})_t,(W_t^{2}) are two SBB with correlation \rho; \gamma the vol of vol; My question is regarding to the following argument,which after several readings i still can not understand: If there're EMM's in the financial market under heston model, then \mu_t must be equal to r, the riskless interest rate. May be this question is a bit too simple to everybody here,but if somebody can tell me about the background-idee, it will be very appreciate and helpful to me.Thank U very much.Regarding to one answer with a bit PROOF.

You're using the money market account as the numeraire asset - hence, divide the tradeable asset (S) by the money market account, and you'll see that it is only a martingale if mu = r. In absence of dividends that is.The fact that it's a Heston model doesn't make matters more difficult, the argument is essentially the same as in Black-Scholes.

Thanks LordR!! It's very appreciated for me to understanding! wish U suceesful in the future,also myself...