The pricing of options under stochastic volatility models can be carried out using Fourier Transform techniques, and this has been developed in the literature by Duffie et al. In this talk we aim to discuss methods (with many technical details) for applying Fourier Transform techniques to two different configurations of the shifted Heston model. These methods are robust and readily implemented in a computer package.

Daniel Campos completed his honours degree in mathematics last year under the supervision of Peter Buchen. Over the summer he has been working with David Stump and Alan Brace as an intern at NabCapital looking at stochastic volatility models for the Foreign Exchange desk as well as other smaller projects. He is currently enrolled as a PhD student at Sydney University.

Tim Glass has been working at NAB over the summer with Alan Brace developing a sample implementation of a stochastic volatility version of BGM for research and development. He is currently completing an honours year in mathematics at UNSW.

Paper: Tim Glass, Fourier Transform Techniques in Stochastic Volatility BGM

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