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Publications by Florence Guillaume

Use a Reduced Heston or Reduce the Use of Heston?

Wilmott Journal

English

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The Randomized Heston Model

SIAM Journal on Financial Mathematics

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Charlton Heston Is God

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Asymptotic Arbitrage in the Heston Model

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Gamma Expansion of the Heston Stochastic Volatility Model

SSRN Electronic Journal

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Optimal Discrete Hedging in the Heston Stochastic Volatility Model

SSRN Electronic Journal

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A Lie Algebraic and Numerical Investigation of the Black-Scholes Equation With Heston Volatility Model

Journal of Generalized Lie Theory and Applications

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The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation

International Journal of Theoretical and Applied Finance

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Optimal Dynamic Mean-Variance Asset-Liability Management Under the Heston Model

Advances in Difference Equations

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The Affine Heston Model With Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives

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