Stochastic volatility models and Kelvin waves

DOI10.1088/1751-8113/41/34/344012MaRDI QIDQ3524284zbMATH OpenOpenAlexFDO

Authors Artur Sepp, Alexander Lipton

Publication date 9 September 2008

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1751-8113/41/34/344012

zbMATH Keywords

Heston modelKelvin methodmodel implementationStein and Stein modelstochastic volatility models

Mathematics Subject Classification ID

Transition functions, generators and resolvents (60J35) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(10)

• Stochastic volatility models at = 1 as second class constrained Hamiltonian systems
• Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
• Chi-square simulation of the CIR process and the Heston model
• Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
• A generalized Fourier transform approach to risk measures
• Variance-Optimal Hedging in General Affine Stochastic Volatility Models
• Marginal density expansions for diffusions and stochastic volatility. II: Applications
• Wavelet-\(L_2 E\) stochastic volatility models: an application to the water-energy nexus
• Large deviation principles for stochastic volatility models with reflection
• Algebraic solution of the Stein-Stein model for stochastic volatility

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