Complications with stochastic volatility models
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- Asymptotics for the Euler-discretized Hull-White stochastic volatility model
- Moments of the asset price for the Barndorff-Nielsen and Shephard model
- An integral representation of elasticity and sensitivity for stochastic volatility models
- Asymptotic asset pricing and bubbles
- Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
- Hedging for the long run
- Continuity of utility maximization under weak convergence
- On absolute continuity and singularity of multidimensional diffusions
- Strict local martingales and the Khasminskii test for explosions
- Asset price bubbles: invariance theorems
- No arbitrage in continuous financial markets
- Extended weak convergence and utility maximisation with proportional transaction costs
- Precise asymptotics: robust stochastic volatility models
- Detecting bubbles in bitcoin price dynamics via \textit{market exuberance}
- Weak tail conditions for local martingales
- On the martingale property in the rough Bergomi model
- Comparison results for stochastic volatility models via coupling
- Moment explosions in stochastic volatility models
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- Optional projection under equivalent local martingale measures
- A mathematical theory of financial bubbles
- On the martingale property in stochastic volatility models based on time-homogeneous diffusions
- Robust pricing and hedging under trading restrictions and the emergence of local martingale models
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
- A simple proof of the martingale property in a semi-log-normal stochastic volatility model
- Asset price bubbles in incomplete markets
- Real-world pricing for a modified constant elasticity of variance model
- Mean-variance hedging with oil futures
- On backward stochastic differential equations and strict local martingales
- Outperforming the market portfolio with a given probability
- Large deviation principle for Volterra type fractional stochastic volatility models
- Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model
- INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
- Implied volatility in strict local martingale models
- On the martingale property of stochastic exponentials
- Shifting martingale measures and the birth of a bubble as a submartingale
- On the hedging of options on exploding exchange rates
- Option pricing with quadratic volatility: a revisit
- Valuation equations for stochastic volatility models
- The meaning of market efficiency
- Hedging under arbitrage
- Revisiting linear and lognormal stochastic volatility models
- Strict local martingales via filtration enlargement
- Short-time near-the-money skew in rough fractional volatility models
- The equivalent martingale measures for the stochastic volatility model
- Numerical option pricing in the presence of bubbles
- Local volatility function models under a benchmark approach
- A Stochastic Volatility Alternative to SABR
- Financial models with defaultable numéraires
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- Local volatility under rough volatility
- Log-normal stochastic volatility model with quadratic drift
- A study on asset price bubble dynamics: explosive trend or quadratic variation?
- On the Guyon-Lekeufack volatility model
- On the martingale property of certain local martingales
- No arbitrage conditions for simple trading strategies
- Detecting asset price bubbles using deep learning
- Stochastic volatility for factor Heath-Jarrow-Morton framework
- VIX options in the SABR model
- Rational asset pricing bubbles and portfolio constraints
- A unifying approach for the pricing of debt securities
- Bubbles, convexity and the Black-Scholes equation
- A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
- On changes of measure in stochastic volatility models
- The Black-Scholes equation in stochastic volatility models
- On optimal arbitrage
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