hi people,I'm trying to do heston's calculus for the vanilla closed form solutions step by step. in his appendix, he's applying Ito to f(x,v,t) using the processes in equation (14) (and not 15 like he mentionned). I know that what I'm going to say doesn't change the proof, but just to be sure: the terms in front of dz1 and dz2, shouldn't they rather be respectively sqrt(v) and sigma*sqrt(v), instead of (r+uv) and (a-bv)?? because it's just a stupid Ito calculus...Thus, I don't understand how he can guess the form exp(C+Dv+i*phi*x) for (A6)? He says he uses the linearity of the coefficients in the PDE (A2) (A4, no?).and last but not least, can somebody explain me how to prove that the differential equations for D and C have for solutions the ones heston gives, excepted by verifying that the given formulas effectively satisfy the equation?thanks a lot for your replies.best regards,Thien Thanh

I finally found for C and D, but still don't understand clearly the part with the carateristic function..