Code and notebooks accompanying the article Fast-excursion limit of the Heston model (arXiv:2606.06737). The notebooks in notebooks/figures/ generate the article's figures, saved to plots/. For example:
Figure 1: Two classical Heston price paths (dark) converging to their interval-valued 'fast-excursion limit' (light) as reversion speed goes to infinity.
pip install -e "."Notebooks assume you have a way to open .ipynb files (VS Code with the Jupyter extension, JupyterLab, classic Notebook, etc.).
Figures use Latin Modern Roman, bundled in fonts/ and registered by plot_config. These fonts are separately licensed.
Start with notebooks/intro.ipynb, which simulates FastExcursionHeston. The package also provides HestonRandomODE, which is a random ODE formulation of the Heston model that facilitates visualisation of pathwise (i.e. almost sure) convergence, as in Figure 1 above.
The notebooks in notebooks/figures/ are written for humans. notebooks/figures.ipynb is rather for the figures.yml workflow.
Generally, simulation schemes are slow. Comments in the code explain why. Claude can e.g. speed up Figure 5 by 20x, but models' connections are compromised.
To cite this work, see CITATION.cff. Questions and comments to ryan.mccrickerd@gmail.com.
Developed with Claude Code (Anthropic).