This document covers various aspects the Heston model. The structure

and topics covered is as follows:

Chapter 1 introduces the model and provides theoretical and graphical

motivation for its robustness and hence popularity. It also discusses

pricing using the Partial Differential Equation and Equivalent Martingale

Measure techniques

Chapter 2 discusses how the different components of the model can be

evaluated computationally and how this can be achieved with different

methods. These methods are then compared to each other.

Chapter 3 addresses the calibration problem. Different methods are

presented as well as practical implementation, results thereof, and comparisons.

All the MATLAB code required to implement the model is provided in

the appendix