Affine forward variance models

Citations

Cited by:

1. Dupret, Jean-Loup & Hainaut, Donatien, 2021. "Portfolio insurance under rough volatility and Volterra processes," LIDAM Discussion Papers ISBA 2021026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
2. Ackermann, Julia & Kruse, Thomas & Overbeck, Ludger, 2022. "Inhomogeneous affine Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 250-279.
3. 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.
4. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Working Papers hal-02946146, HAL.
5. Jim Gatheral & Radov{s} Radoiv{c}i'c, 2023. "A generalization of the rational rough Heston approximation," Papers 2310.09181, arXiv.org, revised Feb 2024.
6. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Post-Print hal-02946146, HAL.
7. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2021. "American options in the Volterra Heston model," Working Papers hal-03178306, HAL.
8. Etienne Chevalier & Sergio Pulido & Elizabeth Z'u~niga, 2021. "American options in the Volterra Heston model," Papers 2103.11734, arXiv.org, revised May 2022.
9. Liang Wang & Weixuan Xia, 2022. "Power‐type derivatives for rough volatility with jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1369-1406, July.
   • Liang Wang & Weixuan Xia, 2020. "Power-type derivatives for rough volatility with jumps," Papers 2008.10184, arXiv.org, revised Nov 2021.
10. Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2023. "Local volatility under rough volatility," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1119-1145, October.
    • Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2022. "Local volatility under rough volatility," Papers 2204.02376, arXiv.org, revised Nov 2022.
11. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2022. "American options in the Volterra Heston model," Post-Print hal-03178306, HAL.
12. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Finance and Stochastics, Springer, vol. 26(4), pages 733-769, October.
13. Martin Forde & Stefan Gerhold & Benjamin Smith, 2021. "Small‐time, large‐time, and H→0 asymptotics for the Rough Heston model," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 203-241, January.
14. Eduardo Abi Jaber & Shaun & Li & Xuyang Lin, 2024. "Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models," Papers 2405.02170, arXiv.org.
15. Ozan Akdogan, 2019. "Vol-of-vol expansion for (rough) stochastic volatility models," Papers 1910.03245, arXiv.org, revised Dec 2019.
16. Han, Bingyan & Wong, Hoi Ying, 2021. "Merton’s portfolio problem under Volterra Heston model," Finance Research Letters, Elsevier, vol. 39(C).
17. Bondi, Alessandro & Livieri, Giulia & Pulido, Sergio, 2024. "Affine Volterra processes with jumps," Stochastic Processes and their Applications, Elsevier, vol. 168(C).
18. Qinwen Zhu & Gr'egoire Loeper & Wen Chen & Nicolas Langren'e, 2020. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Papers 2007.02113, arXiv.org.
19. Antoine Jacquier & Alexandre Pannier, 2020. "Large and moderate deviations for stochastic Volterra systems," Papers 2004.10571, arXiv.org, revised Apr 2022.
20. Qinwen Zhu & Gregoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Working Papers hal-02910724, HAL.
21. Bingyan Han & Hoi Ying Wong, 2019. "Time-inconsistency with rough volatility," Papers 1907.11378, arXiv.org, revised Dec 2021.
22. Peter Friz & Jim Gatheral, 2022. "Diamonds and forward variance models," Papers 2205.03741, arXiv.org.
23. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02946146, HAL.
24. Eduardo Abi Jaber, 2020. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Papers 2009.10972, arXiv.org, revised May 2022.
25. 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.
26. Qinwen Zhu & Grégoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing," Mathematics, MDPI, vol. 9(5), pages 1-21, March.
27. Florian Aichinger & Sascha Desmettre, 2024. "Pricing of geometric Asian options in the Volterra-Heston model," Papers 2402.15828, arXiv.org, revised Jul 2024.
28. Qinwen Zhu & Gregoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Post-Print hal-02910724, HAL.
29. Peter K. Friz & Jim Gatheral, 2024. "Computing the SSR," Papers 2406.16131, arXiv.org.
30. Dupret, Jean-Loup & Barbarin, Jérôme & Hainaut, Donatien, 2021. "Impact of rough stochastic volatility models on long-term life insurance pricing," LIDAM Discussion Papers ISBA 2021017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
31. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Minimax Theory," Papers 2210.01214, arXiv.org, revised Feb 2024.