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Difficulty: Hard
Category: options_pricing
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: heston_model, stochastic_volatility, characteristic_function, numerical_integration, options_pricing
The Heston stochastic volatility model is a cornerstone in quantitative finance for options pricing, addressing the limitations of Black-Scholes by incorporating a mean-reverting variance process correlated with asset returns. Its semi-analytical solution, derived via characteristic functions and numerical integration, allows for efficient calibration and real-time application. This model is crucial for tasks like volatility surface fitting, exotic option hedging, and generating model-implied si
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