Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Large and moderate deviations for importance sampling in the Heston
  model   We provide a detailed importance sampling analysis for variance reduction in
stochastic volatility models. The optimal change of measure is obtained using a
variety of results from large and moderate deviations: small-time, large-time,
small-noise. Specialising the results to the Heston model, we derive many
closed-form solutions, making the whole approach easy to implement. We support
our theoretical results with a detailed numerical analysis of the variance
reduction gains.

12
The categories of this paper are: nucl-th
23
The categories of this paper are: solv-int
20
The categories of this paper are: acc-phys
26
The categories of this paper are: bayes-an
13
The categories of this paper are: quant-ph
25
The categories of this paper are: patt-sol
19
The categories of this paper are: eess
24
The categories of this paper are: dg-ga
31
The categories of this paper are: ao-sci
33
The categories of this paper are: plasm-ph
27
The categories of this paper are: comp-gas
8
The categories of this paper are: hep-ex
36
The categories of this paper are: cmp-lg
1
The categories of this paper are: cs
34
The categories of this paper are: chem-ph
32
The categories of this paper are: atom-ph