This thesis deals with the simulation of the Wishart stochastic volatility model (WSVM) which is a matrix generalization of the famous Heston model. Lately, an

We deal with several efficient discretization methods for the simulation of the Heston stochastic volatility model. The resulting schemes can be used to calcula

We perform a thorough investigation on the analytical solvability of general stochastic volatility (SV) models with Levy jumps and propose a unified, accurate,

The famous Black-Scholes model was the starting point of a new financial industry and has been a very important pillar of all options trading since. One of its

This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transfo