| Description : |
The Heston model (1993) has emerged as the reference model among stochastic volatility
models. Despite being almost 20 years old, is has still very recently been the topic of a blooming of
deep studies, either on theoretical properties of the model (especially the shape of the volatility smile),
on numerical issues related to the computation of option prices, and also on calibration. In this talk we will
present a summary of the recent theoretical advances made by Andersen and Piterbarg, Jacquier and Forde, Jacquier and Mihaitovic,
Tehranchi, and others. We will also spot some theoretical open questions of practical importance.
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