Calibration of the Heston model by Fourier series method

Name: Calibration of the Heston model by Fourier series method
Start: 2009-01-01T00:00:00Z
Location: Fourth Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, Brazil.

Date

Jan 1, 2009 12:00 AM

Location

Fourth Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, Brazil.

Calibration of the Heston model by Fourier series method

Rodrigo S. Targino

Assistant Professor of Statistics