IDEAS home Printed from https://ideas.repec.org/r/kap/annfin/v8y2012i2p337-378.html
   My bibliography  Save this item

Affine fractional stochastic volatility models

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
  2. Christian Bayer & Peter K. Friz & Paul Gassiat & Jorg Martin & Benjamin Stemper, 2020. "A regularity structure for rough volatility," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 782-832, July.
  3. Elisa Alòs & Maria Elvira Mancino & Tai-Ho Wang, 2019. "Volatility and volatility-linked derivatives: estimation, modeling, and pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 321-349, December.
  4. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2021. "American options in the Volterra Heston model," Working Papers hal-03178306, HAL.
  5. Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2022. "Sandwiched Volterra Volatility model: Markovian approximations and hedging," Papers 2209.13054, arXiv.org, revised Jul 2024.
  6. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017. "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers 2017-26, Department of Economics and Business Economics, Aarhus University.
  7. Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2014. "Volatility is rough," Papers 1410.3394, arXiv.org.
  8. Nicole Bauerle & Sascha Desmettre, 2018. "Portfolio Optimization in Fractional and Rough Heston Models," Papers 1809.10716, arXiv.org, revised May 2019.
  9. Bolko, Anine E. & Christensen, Kim & Pakkanen, Mikko S. & Veliyev, Bezirgen, 2023. "A GMM approach to estimate the roughness of stochastic volatility," Journal of Econometrics, Elsevier, vol. 235(2), pages 745-778.
  10. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2016. "Decoupling the short- and long-term behavior of stochastic volatility," Papers 1610.00332, arXiv.org, revised Jan 2021.
  11. Jiro Akahori & Xiaoming Song & Tai-Ho Wang, 2022. "Probability Density of Lognormal Fractional SABR Model," Risks, MDPI, vol. 10(8), pages 1-27, August.
  12. Stefan Gerhold & Christoph Gerstenecker & Arpad Pinter, 2019. "Moment explosions in the rough Heston model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 575-608, December.
  13. repec:hal:wpaper:hal-02265210 is not listed on IDEAS
  14. Christian Bayer & Jinniao Qiu & Yao Yao, 2020. "Pricing Options Under Rough Volatility with Backward SPDEs," Papers 2008.01241, arXiv.org.
  15. Cao, Jiling & Kim, Jeong-Hoon & Kim, See-Woo & Zhang, Wenjun, 2020. "Rough stochastic elasticity of variance and option pricing," Finance Research Letters, Elsevier, vol. 37(C).
  16. Etienne Chevalier & Sergio Pulido & Elizabeth Z'u~niga, 2021. "American options in the Volterra Heston model," Papers 2103.11734, arXiv.org, revised May 2022.
  17. Zhigang Tong, 2016. "Option pricing in stochastic volatility models driven by fractional Lévy processes," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 56-75.
  18. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2022. "American options in the Volterra Heston model," Post-Print hal-03178306, HAL.
  19. Martin Forde & Hongzhong Zhang, 2016. "Asymptotics for rough stochastic volatility models," Papers 1610.08878, arXiv.org, revised Mar 2021.
  20. Hideharu Funahashi & Masaaki Kijima, 2017. "Does the Hurst index matter for option prices under fractional volatility?," Annals of Finance, Springer, vol. 13(1), pages 55-74, February.
  21. Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Tommi Sottinen & Josep Vives, 2019. "Decomposition formula for rough Volterra stochastic volatility models," Papers 1906.07101, arXiv.org, revised Aug 2019.
  22. Ömer ÖNALAN, 2022. "Joint Modelling of S&P500 and VIX Indices with Rough Fractional Ornstein-Uhlenbeck Volatility Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 68-84, April.
  23. Giulia Di Nunno & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2022. "Option pricing in Sandwiched Volterra Volatility model," Papers 2209.10688, arXiv.org, revised Jul 2024.
  24. Antoine Jacquier & Alexandre Pannier, 2020. "Large and moderate deviations for stochastic Volterra systems," Papers 2004.10571, arXiv.org, revised Apr 2022.
  25. Xiao, Weilin & Yu, Jun, 2019. "Asymptotic theory for rough fractional Vasicek models," Economics Letters, Elsevier, vol. 177(C), pages 26-29.
  26. Archil Gulisashvili & Frederi Viens & Xin Zhang, 2015. "Small-time asymptotics for Gaussian self-similar stochastic volatility models," Papers 1505.05256, arXiv.org, revised Mar 2016.
  27. Jan Matas & Jan Pospíšil, 2023. "Robustness and sensitivity analyses of rough Volterra stochastic volatility models," Annals of Finance, Springer, vol. 19(4), pages 523-543, December.
  28. Nicolas Marie, 2023. "Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models," Finance and Stochastics, Springer, vol. 27(1), pages 97-126, January.
  29. Alexandre Pannier & Antoine Jacquier, 2019. "On the uniqueness of solutions of stochastic Volterra equations," Papers 1912.05917, arXiv.org, revised Apr 2020.
  30. Viktor Bezborodov & Luca Persio & Yuliya Mishura, 2019. "Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 331-366, March.
  31. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
  32. Jan Matas & Jan Posp'iv{s}il, 2021. "On simulation of rough Volterra stochastic volatility models," Papers 2108.01999, arXiv.org, revised Aug 2022.
  33. Elisa Alòs & Yan Yang, 2014. "A closed-form option pricing approximation formula for a fractional Heston model," Economics Working Papers 1446, Department of Economics and Business, Universitat Pompeu Fabra.
  34. Antoine Jacquier & Emma R. Malone & Mugad Oumgari, 2019. "Stacked Monte Carlo for option pricing," Papers 1903.10795, arXiv.org.
  35. Rachid Belfadli & Khalifa Es-Sebaiy & Fatima-Ezzahra Farah, 2022. "Statistical analysis of the non-ergodic fractional Ornstein–Uhlenbeck process with periodic mean," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(7), pages 885-911, October.
  36. Carlos D. Ramirez, 2024. "The effect of economic policy uncertainty under fractional integration," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(1), pages 89-110, January.
  37. Martin Keller-Ressel & Martin Larsson & Sergio Pulido, 2018. "Affine Rough Models," Papers 1812.08486, arXiv.org.
  38. Chih-Chen Hsu & An-Sing Chen & Shih-Kuei Lin & Ting-Fu Chen, 2017. "The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(3), pages 819-848, April.
  39. Jacquier, Antoine & Pannier, Alexandre, 2022. "Large and moderate deviations for stochastic Volterra systems," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 142-187.
  40. Nicholas Salmon & Indranil SenGupta, 2021. "Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging," Papers 2105.02325, arXiv.org.
  41. Li, Yicun & Teng, Yuanyang, 2023. "Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
  42. Ackermann, Julia & Kruse, Thomas & Overbeck, Ludger, 2022. "Inhomogeneous affine Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 250-279.
  43. Hiroyuki Kawakatsu, 2022. "Modeling Realized Variance with Realized Quarticity," Stats, MDPI, vol. 5(3), pages 1-25, September.
  44. José Da Fonseca & Wenjun Zhang, 2019. "Volatility of volatility is (also) rough," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(5), pages 600-611, May.
  45. Nicholas Salmon & Indranil SenGupta, 2021. "Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging," Annals of Finance, Springer, vol. 17(4), pages 529-558, December.
  46. Qi Zhao & Alexandra Chronopoulou, 2023. "Delta-hedging in fractional volatility models," Annals of Finance, Springer, vol. 19(1), pages 119-140, March.
  47. Huy N. Chau & Duy Nguyen & Thai Nguyen, 2024. "On short-time behavior of implied volatility in a market model with indexes," Papers 2402.16509, arXiv.org, revised Apr 2024.
  48. Benjamin James Duthie, 2019. "Portfolio optimisation under rough Heston models," Papers 1909.02972, arXiv.org.
  49. Hamza Guennoun & Antoine Jacquier & Patrick Roome & Fangwei Shi, 2014. "Asymptotic behaviour of the fractional Heston model," Papers 1411.7653, arXiv.org, revised Aug 2017.
  50. Frezza, Massimiliano, 2014. "Goodness of fit assessment for a fractal model of stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 66(C), pages 41-50.
  51. Jan Matas & Jan Posp'iv{s}il, 2021. "Robustness and sensitivity analyses for rough Volterra stochastic volatility models," Papers 2107.12462, arXiv.org, revised Jun 2023.
  52. Saad Mouti, 2023. "Rough volatility: evidence from range volatility estimators," Papers 2312.01426, arXiv.org, revised Sep 2024.
  53. Boris Ter-Avanesov & Gunter A. Meissner, 2024. "Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates," Papers 2411.16617, arXiv.org.
  54. Martin Keller-Ressel & Martin Larsson & Sergio Pulido, 2023. "Rough affine models," Post-Print hal-02265210, HAL.
  55. Yicun Li & Yuanyang Teng, 2022. "Estimation of the Hurst Parameter in Spot Volatility," Mathematics, MDPI, vol. 10(10), pages 1-26, May.
  56. Anine E. Bolko & Kim Christensen & Mikko S. Pakkanen & Bezirgen Veliyev, 2020. "Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures," CREATES Research Papers 2020-12, Department of Economics and Business Economics, Aarhus University.
  57. Khalifa Es-Sebaiy & Mohammed Es.Sebaiy, 2021. "Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 409-436, June.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.