I wanted to update this space to mention two presentations I gave of my thesis. I was thankful to be invited to the University of Manchester on the 25th of september 2012. This was also commented by Techila Technologies as well. It was a valuable experience and had the opportunity to answer some questions about the content of my results.
The second event I was invited to was the conference in Aarhus, Dennmark with the University of Aarhus for the week of February 25th 2013. I presented my thesis and attended the lectures there. Realy interesting talks by Antoon Pelsser of Maastricht University, and Peter Christoffersen of the University of Toronto.
I currently have a working paper for this thesis, and doing some extra work on it for submission to publish.
I am extremely happy with the acceptance this work has received, so I’d like to refine this work as much as I can. Watch this space for any updates. As a sidenote, I’ve also pushed an update into my github repo that can help you run the Heston model without requiring a NAG license. N.B. that this model would not have any variance reduction method without NAG’s Quasi random number generator. I’m planning to add some method, most likely antithetic variates, to address this. But you should be able to run this in Matlab now without any licenses. Enjoy!