Derivatives in Financial Markets with Stochastic Volatility

By Jean-Pierre Fouque 3, George Papanicolaou, K. Sircar. 2000

1,095 citations recorded by the source corpus.

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Citations in the corpus

Asymptotics of Implied Volatility far from Maturity (2009, background): “In Chapter 5 of [4], it is observed, in the context of a fast-mean reverting stochastic volatility model, that such affine structure could be exploited for model calibration.”
Delta-hedging vega risk? (2004, background): “c. Stochastic volatility models, that further subdivide into spot stochastic volatility models [40, 42, 37 ], stochastic implied trees [30] and market models of implied volatility [52, 17, 16, 21].”
Pricing Asian options with stochastic volatility (2003, methodology): “In the case that the payoff function h in (11) is smooth, it follows straightforwardly from [5] that the accuracy of the approximation is”
Probability distribution of returns in the Heston model with stochastic volatility (2002, methodology): “In this paper, we study a particular stochastic volatility model, called the Heston model [11], where the square of the stock price volatility, called the variance v, follows a random process known in financial literature as the Cox— Ingersoll-Ross (CIR) process and in mathematical statistics as the”
On multigrid for anisotropic equations and variational inequalities “Pricing multi-dimensional European and American options” (2004, background): “Moreover, it can serve as a basis for homogenisation approaches [7].”
Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing (2018, methodology): “In this sense, using a MR process for the risk premium is crucial for many stock markets where such a model feature is widely accepted (see Poterba and Summers (1988), Fouque et al. (2000), and Mukherji (2011) for empirical evidence).”
Efficient numerical methods for pricing American options under stochastic volatility (2008, background): “Examples of these are value and time dependent volatility functions [15], jump processes for the value [11], [30], their combinations [2], stochastic volatility models [18], [20], and stochastic volatility models with jumps [14].”
BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives (2008, methodology): “This is the so-called Poisson equation that can be explicitly solved to find the first correction B1, as described in [16].”
Option pricing under hybrid stochastic and local volatility (2013, background): “Refer to Fouque et al. (2000) for empirical analysis.”
Electricity price modeling with stochastic time change (2017, unknown): “[25].”
Matched Asymptotic Expansions in Financial Engineering (2005, methodology): “It is possible to construct asymptotic approximations to the solutions of this equation, valid as 2 → 0, and this approach was pioneered by Fouque, Papanicolaou & Sircar; it is summarised in their book [15].”
A Practical Guide to Forecasting Financial Market Volatility (2005, background): “Books that cover specific aspects or variants of volatility models include Franses and van Dijk (2000) on nonlinear models, and Beran (1994) and Robinson (2003) on long memory models.”