Add to ORKGAn explicitly solvable multiscale stochastic volatility model that generalizes the Heston model has been introduced and studied
We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston sto...
This ebook contains a set of slides that can be used to present lectures in a graduate course or in ...
We model the volatility of a single risky asset using a multifactor (matrix) Wishart affine process,...
An explicitly solvable multiscale stochastic volatility model that generalizes the Heston model has ...
We introduce an explicitly solvable multiscale stochastic volatility model that generalizes the Hest...
We introduce an explicitly solvable multiscale stochastic volatility model that generalizes the Hest...
We introduce an explicitly solvable multiscale stochastic volatility model that generalizes the Hest...
We implement the Heston stochastic volatility model by using multidimensional Ornstein-Uhlenbeck pro...
We model the volatility of a single risky asset using a multifactor (matrix) Wishart affine process,...
We consider a model for a single risky asset whose volatility follows a multifactor (matrix)Wishart ...
Stochastic volatility models are used in mathematical finance to describe the dynamics of asset pric...
The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To ov...
Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance w...
Parallel sessionInternational audienceIntroduction on models Financial models and stochastic volatil...
The aim of this work is to advocate the use of multifractional Brownian motion (mBm) as a relevant m...
We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston sto...
This ebook contains a set of slides that can be used to present lectures in a graduate course or in ...
We model the volatility of a single risky asset using a multifactor (matrix) Wishart affine process,...
An explicitly solvable multiscale stochastic volatility model that generalizes the Heston model has ...
We introduce an explicitly solvable multiscale stochastic volatility model that generalizes the Hest...
We introduce an explicitly solvable multiscale stochastic volatility model that generalizes the Hest...
We introduce an explicitly solvable multiscale stochastic volatility model that generalizes the Hest...
We implement the Heston stochastic volatility model by using multidimensional Ornstein-Uhlenbeck pro...
We model the volatility of a single risky asset using a multifactor (matrix) Wishart affine process,...
We consider a model for a single risky asset whose volatility follows a multifactor (matrix)Wishart ...
Stochastic volatility models are used in mathematical finance to describe the dynamics of asset pric...
The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To ov...
Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance w...
Parallel sessionInternational audienceIntroduction on models Financial models and stochastic volatil...
The aim of this work is to advocate the use of multifractional Brownian motion (mBm) as a relevant m...
We extend the Heston stochastic volatility model to a Hilbert space framework. The tensor Heston sto...
This ebook contains a set of slides that can be used to present lectures in a graduate course or in ...
We model the volatility of a single risky asset using a multifactor (matrix) Wishart affine process,...