The Alpha‐Heston stochastic volatility model-Reference-Cited by-同舟云学术

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The Alpha‐Heston stochastic volatility model

Published:2021-04-05 Issue:3 Volume:31 Page:943-978
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Jiao Ying¹,Ma Chunhua²,Scotti Simone³^ORCID,Zhou Chao⁴⁵^ORCID

Affiliation:

1. Laboratoire de Sciences Actuarielle et Financière Université de Lyon Université Claude Bernard ‐ Lyon 1 Lyon France

2. School of Mathematical Sciences and LPMC Nankai University Tianjin China

3. Laboratoire de Probabilités, Statistiques et Modèlisation Université de Paris Site Sophie Germain Paris France

4. Department of Mathematics National University of Singapore Singapore Singapore

5. Present address: Department of Mathematics City University of Hong Kong Kowloon Tong Hong Kong

Funder

Institut Louis Bachelier

National Natural Science Foundation of China

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12306

Reference51 articles.

1. Affine Volterra processes

2. Statistics of VIX futures and applications to trading volatility exchange‐traded products;Avellaneda M.;Journal of Investment Strategies,2018

3. Approximations of small jumps of Lévy processes with a view towards simulation

4. The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework

5. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics

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2. Analytically pricing European options with a two-factor Stein–Stein model;Journal of Computational and Applied Mathematics;2024-04

3. The rough Hawkes Heston stochastic volatility model;Mathematical Finance;2024-03-02

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5. Interest Rates Term Structure Models Driven by Hawkes Processes;SIAM Journal on Financial Mathematics;2023-10-17

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