Affine forward variance models
Jim Gatheral, Martin Keller-Ressel
| Year of publication: |
2019
|
|---|---|
| Authors: | Gatheral, Jim ; Keller-Ressel, Martin |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 23.2019, 3, p. 501-533
|
| Subject: | Stochastic volatility | Rough volatility | Riccati equation | Affine process | Hawkes process | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-019-00392-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012023754