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Certificate of Completion

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THIS ACKNOWLEDGES THAT

HAS COMPLETED THE SUMMER 2026 QUANT FINANCE BOOT CAMP

Santiago Neira Lopez

Roman Holowinsky, PhD

July 20, 2026

DIRECTOR

DATE

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TEAM

Comparison of Heston Model Calibration Methods

Santiago Neira Lopez, Arindam Bhattacharyya, Ankit Kumar, Yang Zhou

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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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