Quantification of risk metrics (VaR, ES, Loss Distribution, Hedging Error) via Monte Carlo simulation of stochastic models (GBM, Heston) with parameter estimation (MLE) on historical data. For full research paper: https://www.researchgate.net/publication/376956418_Risk_Investigation_of_Stock_Positions_using_the_Heston_Stochastic_Volatility_Model
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Quantification of risk metrics (VaR, ES, Loss Distribution, Hedging Error) via Monte Carlo simulation of stochastic models (GBM, Heston) with parameter estimation (MLE) on historical data.
arjundhatt13/heston
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Quantification of risk metrics (VaR, ES, Loss Distribution, Hedging Error) via Monte Carlo simulation of stochastic models (GBM, Heston) with parameter estimation (MLE) on historical data.
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