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  1. Simulation Heston Model

    It's very famous that Euler (and even Milstein) doesn't converge for Heston. You should try Andersen from BofA or Smith from Santander.
  2. COMPARE Baruch vs NYU-Poly Financial engineering - which is better

    Is Polytechnic University different from Ecole Polytechnique in France?
  3. Does anyone have experience about Heston model's calibration?

    what's your problem exactly? I haven't seen any result on page 29, except a graph of error calibration with no numerical output. Calibration of Heston is quite tricky though. It's not as easy as in Moodley's. You should use Gauss-Lombarto and try to use Lipton-Lewis to save time of computation...
  4. Does anyone have experience about Heston model's calibration?

    Not sure if I understand well your question. You could use Heston with piecewise constant parameterization to calibrate a given smile surface.
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