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most citedMonte Carlo simulation of uncoupled continuous-time random walks yielding a stochastic solution of the space-time fractional diffusion equation

183 citations · 905 across the 25 of their papers we have counts for

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q-fin.CP2015

Full and fast calibration of the Heston stochastic volatility model

Yiran Cui, Sebastian del Baño Rollin, Guido Germano

This paper presents an algorithm for a complete and efficient calibration of the Heston stochastic volatility model. We express the calibration as a nonlinear least squares problem…