Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...

Citations: Andersen, Torben Gustav, Tim Bollerslev. 1996. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Business & Economic Statistics. (3)328-352.

The Heston Model is a tool for pricing European options using stochastic volatility rather than constant volatility. This model considers the correlation between a stock’s price and its volatility, ...

The Founder and Principal Researcher at Gazillion Labs is combining bounded stochastic price modeling, market microstructure, ...