A multifactor volatility Heston model

By J. D. da Fonseca, Martino Grasselli, Claudio Tebaldi. 2008

193 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f3757c3cdf97e4f421bd1e1e46ca94ef0f3ca817

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Citations in the corpus

Hedging (Co)Variance Risk with Variance Swaps (2011, unknown): “…form as in (3), we adopt the so called completely affine parametrization (in the terminology of Duffee (2002)) for the market price of risk as in Da Fonseca et al. (2008), thus leading to a price deflator whose dynamic is given by the following SDE: dHt Ht = −rdt+ Tr [ Λ> √ ΣtdWt ] − l> √ ΣtdBt,…”
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function (2014, unknown): “We refer to Da Fonseca et al. (2008) for the explicit computation of all covariations involved in the below formulas.”
Affine Diffusion Processes: Theory and Applications (2009, background): “(ii) Matrix state-spaces S d (d ≥ 2), the cone of symmetric positive definite matrices (see [5, 6, 15, 17, 19].”
On strong solutions for positive definite jump diffusions (2009, unknown): “Positive semi-definite matrix valued processes are increasingly used in finance, particularly for stochastic modeling of multivariate stochastic volatility phenomena in equity and fixed income models, see [7, 8, 12, 11, 13, 14, 21, 20, 23, 33].”
Riding on the smiles (2011, unknown): “Proposition 3.6: For a short time to maturity the implied volatility expansion in terms of the vol-of-vol scale factor in the model of Da Fonseca et al. (2008) is given by 2imp ¼ 11t þ 22t þ Tr½RQ t Tr½ t mf þ 2 m2f ðTr½ t Þ2 1 3 Tr½Q>Q þ 1 3 Tr½RQðQ>R> þRQÞ 5 4 ðTr½RQ Þ2 Tr½ t , ð46Þ where mf :¼…”
Affine Processes on Positive Semidefinite Matrices (2009, unknown): “rate solutions, as they are only deﬁned on low-dimensional subsets of the boundary of S+ d (see [7, Corollary 1]). 4 C.CUCHIERO, D.FILIPOVIC, E.MAYERHOFER AND J.TEICHMANN´ including Da Fonseca et al. [10, 11, 12, 13] and Buraschi et al. [9, 8]. Barndorﬀ- Nielsen and Stelzer [4] provide a theory for ”
Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011, unknown): “Duffie et al. (2003, Lemma A.1). It follows by inspection that the right hand side of this equation is a real polynomial in x of degree less than or equal to |α|. Recently, generalizing the recursive method used in Forman and Sørensen (2008) for Pearson-type diffusions, Cuchiero et al.”