Numerix: "Hot-Start" Initialization Of The Heston Model
A logical way of making a model more closely fit the observed behavior is to augment its dimension by adding a hidden process that somehow affects the evolution of the principal observable value. The complete model specification then acquires the parameters of the hidden process and its possible correlation with the principal process. This also requires describing how the hidden process starts, which is the main subject of this paper.
The very fact that the process is hidden makes it
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