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| Name | Heston model explained: stochastic volatility (Excel) |
| Video Uploader | Video From NEDL |
| Upload Date | This Video Uploaded At 17-05-2022 17:41:59 |
| Video Discription | Heston (1993) model is one of the most widely used stochastic techniques to explain the dynamics of asset prices. It combines a heteroskedastic random walk with a mean-reverting stochastic volatility process which allows to capture several stylised facts observed in return series, such as volatility clustering and dependence between shocks to mean and variance. Today we are discussing the implementation of the Heston model in Excel. Don't forget to subscribe to NEDL and give this video a thumbs up for more videos in Econometrics! Please consider supporting NEDL on Patreon: https://www.patreon.com/NEDLeducation VrHIRnm7ezU |
| Category | Education |
| Tags | time series | econometrics | time series econometrics | financial econometrics | Heston model | Heston | stochastic model | stochastic volatility | mean-reversion | Ornstein-Uhlenbeck | OU process | maximum likelihood | log-likelihood | joint probability density | mathematical finance |
