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Mar6
Monte Carlo methods for the Heston model
IC 211
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.Apr3
QCF Day 2009
Global Learning and Conference Center
The purpose of this symposium is to showcase the newest and most innovative approaches to quantitative finance used today. In each of the past years, over two hundred people have attended this symposium to listen to both academic and non-academic invited