We investigate three different Value-at-Risk models and their performance during the last year, including the Covid-19 turmoil. The financial industry uses value-at-risk models for many different purposes. It is commonly used for measurement of capital, fund exposures, and limiting trading...

The Heston model has been around for a good 25+ years.  Why would we add a this model to our library now? In recent time there has been some ground breaking research into numerical stability when calibrating models such as...