Scientific Computing For Tomorrow's Market

Stochastic Volatility

Stochastic volatility models are used in the field of mathematical finance to evaluate derivative securities, such as options. Stochastic volatility models are one approach to resolve a shortcoming of the Black–Scholes model.

We have implemented some modules releted to stochastic volatility model. The modules are implemented from the research papers published in top financial conferences like “Bachelier Finance Society World Congress” in recent years.

Time dependent heston model

Modeling and Pricing of Variance Swaps for Local Stochastic Volatilities with Delay and Jumps

Series Expansion of the SABR Joint Density