Lifted Heston Model: Efficient Monte Carlo Simulation with Large Time Steps

By Nicola F. Zaugg, Lech A. Grzelak

Published 2025-10-09

Everscope rating

1863.4

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Constrained Linear Projection (C-LP) Scheme. Problem types: Optimization, Risk Management, Portfolio Optimization.

arXiv:2510.08805 · Paper rankings

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