TY - GEN A1 - Jacquier, Antoine T1 - Convergence of Heston to SVI N2 - In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in~\cite{Gatheral} and the large-time asymptotic of the Heston implied volatility derived in~\cite{FJM} agree algebraically, thus confirming a conjecture from~\cite{Gatheral} as well as providing a simpler expression for the asymptotic implied volatility in the Heston model. We show how this result can help in interpreting SVI parameters. KW - SVI parameterisation KW - Heston model KW - calibration KW - asymptotics KW - implied volatility Y1 - 2011 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/856 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-8565 ER -