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Certificate of Completion
THIS ACKNOWLEDGES THAT
HAS COMPLETED THE SUMMER 2026 QUANT FINANCE BOOT CAMP
Santiago Neira Lopez
Roman Holowinsky, PhD
July 20, 2026
DIRECTOR
DATE

TEAM
Comparison of Heston Model Calibration Methods
Santiago Neira Lopez, Arindam Bhattacharyya, Ankit Kumar, Yang Zhou

The Heston model is a widely used stochastic volatility model for option pricing. To apply it in practice, its five parameters must be calibrated to match observed market option prices. This project compares two calibration methods using the same market dataset: Carr–Madan FFT pricing with global search optimization and direct numerical integration with least-squares optimization.
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