The Heston Model (Part II)

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In this second video on the Heston model, we will express the price and variance dynamics under the risk neutral probability, and see how the implied volatility surface evolves when changing the different parameters of the model.

0:00 Introduction
0:18 The Heston Model under Real Probability
0:52 The Heston Model under Risk-Neutral Probability
4:16 Risk-Neutral Valuation
5:02 The Volatility Surface in the Heston Model
8:37 The Volatility Smile and Skew in the Heston Model
9:19 Variance Swap Term Structure in the Heston Model
10:00 To be Continued

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