Re: MLE and stochastic volatility modelling

On Apr 25, 6:42 am, pinkfloydfan <lloyd.greens...@xxxxxxxxxxxxxx>
wrote:
Hi there

I hope that somebody here will be able to point me in the right
direction.

I understand that when trying to fit a Heston model for stochastic
volatility to historical data that a good way to work out the values
of the various parameters is to use Maximum Likelihood estimation
(MLE).

This is a question from financial econometrics that has been discussed
on the Wilmott web site
http://www.wilmott.com and magazine and in the book

Inside Volatility Arbitrage: The Secrets of Skewness
Alireza Javaheri
ISBN: 978-0-471-73387-4
Hardcover
272 pages
September 2005

.