Heston, Steven L., 1993. A Closed-Form Solution for Options
with Stochastic Volatility with Applications to Bond and
Currency Options. The review of Financial Studies, Volume 6,
Issue 2, 327-343.
A. Elices, Models with time-dependent parameters using
transform methods: application to Heston’s model,
http://arxiv.org/pdf/0708.2020
Calibrate to a set of market instruments (usually caps/swaptions)
An additional constraint can be passed which must be
satisfied in addition to the constraints of the model.
Piecewise time dependent Heston model
References:
Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The review of Financial Studies, Volume 6, Issue 2, 327-343.
A. Elices, Models with time-dependent parameters using transform methods: application to Heston’s model, http://arxiv.org/pdf/0708.2020