Sara Svaluto‐Ferro

Finance · 2023

A researcher in the Science corpus: 1 paper; trusts 5 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

Whom Sara Svaluto‐Ferro trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

  1. Jim Gatheral
  2. A. Sepp
  3. Paul Glasserman

Papers from Sara Svaluto‐Ferro's perspective

Ordered by how strongly the researchers Sara Svaluto‐Ferro trusts endorse each paper. Same corpus, a different order for every researcher.

  1. Volatility is rough
  2. Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
  3. Smiling twice: The Heston++ model (Journal of Banking & Finance)
  4. A regime-switching Heston model for VIX and S&P 500 implied volatilities
  5. Affine Volterra processes (The Annals of Applied Probability)
  6. Monte Carlo Methods in Financial Engineering
  7. Differential equations driven by rough paths
  8. Differential Equations Driven by Π-Rough Paths (Proceedings of the Edinburgh Mathematical Society)
  9. The Signature of a Rough Path: Uniqueness
  10. VIX Option Pricing in a Jump-Diffusion Model

Their papers