{"42923":{"#nid":"42923","#data":{"type":"event","title":"Monte Carlo methods for the Heston model","body":[{"value":"\u003Cp\u003EWe derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular interest is the integral of the variance process over an interval, conditional on the level of the variance at the endpoints. We give an explicit representation of this quantity in terms of infinite sums and mixtures of gamma random variables. The increments of the variance process are themselves mixtures of gamma random variables. The representation of the integrated conditional variance applies the Pitman-Yor decomposition of Bessel bridges. We combine this representation with the Broadie-Kaya exact simulation method and use it to circumvent the most time-consuming step in that method. \u003C\/p\u003E","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":[{"value":"We derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model.","format":"limited_html"}],"field_summary_sentence":[{"value":"A discussion of the Heston stochastic volatility model"}],"uid":"27173","created_gmt":"2009-12-03 10:02:19","changed_gmt":"2016-10-08 01:47:13","author":"Harry Sharp","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2009-03-06T10:00:00-05:00","event_time_end":"2009-03-06T11:00:00-05:00","event_time_end_last":"2009-03-06T11:00:00-05:00","gmt_time_start":"2009-03-06 15:00:00","gmt_time_end":"2009-03-06 16:00:00","gmt_time_end_last":"2009-03-06 16:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"groups":[{"id":"1242","name":"School of Industrial and Systems Engineering (ISYE)"}],"categories":[],"keywords":[{"id":"5371","name":"monte carlo"},{"id":"167145","name":"stochastics"}],"core_research_areas":[],"news_room_topics":[],"event_categories":[{"id":"1795","name":"Seminar\/Lecture\/Colloquium"}],"invited_audience":[],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[{"value":"\u003Cp\u003E\u003Cstrong\u003EHarry Sharp\u003C\/strong\u003E\u003Cbr \/\u003EQuantitative \u0026amp; Computational Finance Program (QCF)\u003Cbr \/\u003E\u003Ca href=\u0022http:\/\/www.gatech.edu\/contact\/index.html?id=hs46\u0022\u003EContact Harry Sharp\u003C\/a\u003E\u003C\/p\u003E","format":"limited_html"}],"email":[],"slides":[],"orientation":[],"userdata":""}}}