The integrated square-root process

By Daniel Dufresne. 2001

156 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/febf927244c67fc371933995b67f3182e4dea56c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Gabriel G. Drimus
2. Andrew Papanicolaou
3. Stéphane Goutte

Citations in the corpus

• Options on realized variance by transform methods: a non-affine stochastic volatility model (2009, background): “In the Heston model, the second moment of realized variance is available in closed form (Dufresne 2001).”