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In this video we will introduce the Heston model which is one of the most used stochastic volatility model.
It assumes that the variance is stochastic, it is correlated with the asset price and follows a mean-reverting Cox Ingersoll Ross (CIR) process.

0:00 Introduction
0:22 The Black-Scholes Model and its Limits
0:31 The Volatility Changes with Time
1:02 The Volatility Clusters
1:14 The Volatility Mean Reverts
1:36 Equities and Volatility are Negatively Correlated in General
2:15 The Heston Model
2:52 The Variance Follow a Mean-Reverting Process
4:15 Spot / Volatility Correlation
4:35 The Heston Model Parameters
7:11 Calibration to Historical Distribution
7:50 To be Continued

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