Heston model explained: stochastic volatility (Excel)

Описание к видео Heston model explained: stochastic volatility (Excel)

Heston (1993) model is one of the most widely used stochastic techniques to explain the dynamics of asset prices. It combines a heteroskedastic random walk with a mean-reverting stochastic volatility process which allows to capture several stylised facts observed in return series, such as volatility clustering and dependence between shocks to mean and variance. Today we are discussing the implementation of the Heston model in Excel.

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