The Alpha‐Heston stochastic volatility model

Affine Volterra processes

(2019) Eduardo Abi Jaber et al.   ANNALS OF APPLIED PROBABILITY

The microstructural foundations of leverage effect and rough volatility

(2018) Omar El Euch et al.   FINANCE AND STOCHASTICS

The characteristic function of rough Heston models

(2018) Omar El Euch et al.   MATHEMATICAL FINANCE

Volatility is rough

(2018) Jim Gatheral et al.   QUANTITATIVE FINANCE

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

(2018) Andrea Barletta et al.   MATHEMATICAL FINANCE

Alpha-CIR model with branching processes in sovereign interest rate modeling

(2017) Ying Jiao et al.   FINANCE AND STOCHASTICS

The Impact of Jump Distributions on the Implied Volatility of Variance

(2017) E. Nicolato et al.   SIAM Journal on Financial Mathematics

Distributions of jumps in a continuous-state branching process with immigration

(2016) Xin He et al.   JOURNAL OF APPLIED PROBABILITY

THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL

(2016) Martino Grasselli   MATHEMATICAL FINANCE

Limit theorems for nearly unstable Hawkes processes

(2015) Thibault Jaisson et al.   ANNALS OF APPLIED PROBABILITY

Pricing under rough volatility

(2015) Christian Bayer et al.   QUANTITATIVE FINANCE

Asymptotic properties of estimators in a stable Cox–Ingersoll–Ross model

(2015) Zenghu Li et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Stochastic equations, flows and measure-valued processes

(2012) Donald A. Dawson et al.   ANNALS OF PROBABILITY

STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS

(2012) Joanna Goard et al.   MATHEMATICAL FINANCE

Statistical Modeling of High-Frequency Financial Data

(2011) Rama Cont   IEEE SIGNAL PROCESSING MAGAZINE

A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES

(2011) Rama Cont et al.   MATHEMATICAL FINANCE

Riding on the smiles

(2011) José da Fonseca et al.   QUANTITATIVE FINANCE

Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes

(2011) Archil Gulisashvili   SIAM Journal on Financial Mathematics

Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations

(2010) Long Hongwei   ACTA MATHEMATICA SCIENTIA

PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS

(2010) Jan Kallsen et al.   MATHEMATICAL FINANCE

MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS

(2010) Martin Keller-Ressel   MATHEMATICAL FINANCE

Exponentially affine martingales, affine measure changes and exponential moments of affine processes

(2009) Jan Kallsen et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Stochastic equations of non-negative processes with jumps

(2009) Zongfei Fu et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS