A complete Markovian stochastic volatility model in the HJM framework

DOI10.1023/A:1010017213565zbMath1153.91474OpenAlexW142259032MaRDI QIDQ1000522

Oh Kang Kwon, Carl Chiarella

Publication date: 6 February 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1010017213565

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (8)

A continuous dependence result for ultraparabolic equations in option pricing ⋮ Robustness for path-dependent volatility models ⋮ Nash estimates and upper bounds for non-homogeneous Kolmogorov equations ⋮ Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility ⋮ Path dependent volatility ⋮ Calibration of a path-dependent volatility model: empirical tests ⋮ SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL ⋮ CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS

This page was built for publication: A complete Markovian stochastic volatility model in the HJM framework