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volatility-swap

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Idriss-Afra / Heston-Stochastic-Volatility-Model

This project aims to implement the Heston model (1993) and apply it to price Equity Variance & Volatility Swaps.

python jupyter-notebook model-calibration stochastic-volatility-models fourier-methods heston-model options-pricing volatility-modeling characteristic-functions variance-swap stochastic-volatility options-calculator equity-derivatives quant-finance heston-stochastic-volatility volatility-swap

Updated Mar 20, 2026
Jupyter Notebook

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